## load libraries
library(vars)
library(quantmod)
### load data files ----
## tier 1 capital
cap <- readRDS("../mdi_tier_1_cap.rds")
## domestic loan balance
loans <- readRDS("../mdi_loans_cap.rds")
## commercial and industrial loans
Cloans <- readRDS("../mdi_Cloans_cap.rds")
Cloans[Cloans == 0] <- NA
## exogenous variables
exogs <- readRDS("../exog.rds")
## remove Q3 2017 because not yet in FDIC data
exogs <- exogs[-dim(exogs)[1], ]
### convert tier 1 capital and loans from levels into changes -----
## this data set (laons, cap) starts in Q1 2001
loans_r <- apply(loans, 2, Delt)
loans_r <- as.xts(loans_r, order.by = index(exogs["2001/"]))
Cloans_r <- apply(Cloans, 2, Delt)
Cloans_r <- as.xts(Cloans_r, order.by = index(exogs["2001/"]))
cap_r <- apply(cap, 2, Delt)
cap_r <- as.xts(cap_r, order.by = index(exogs["2001/"]))
#### VAR
## full sample
for (i in gsub("ID_", "", names(cap))){
tmp <- merge.xts(loans_r[,(gsub("ID_", "", names(loans_r)) == i)], cap_r[,(gsub("ID_", "", names(cap_r)) == i)], exogs)
tmp <- tmp[!rowSums(!is.finite(tmp)), ]
tmp <- tmp[complete.cases(tmp), ]
names(tmp)[1] <- "loans"
names(tmp)[2] <- "capital"
tmp_endo <- tmp[, c(1,2)]
tmp_exog <- tmp[, c(-1,-2)]
tmp_var_sel <- tryCatch(VARselect(tmp_endo, exogen = tmp_exog), error = function(e){print("error")})
tmp_var <- tryCatch(VAR(tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog), error = function(e){print("error")})
tryCatch(print(summary(tmp_var)), error = function(e){print("error")})
tryCatch(plot(tryCatch(irf(tmp_var, impulse = 'capital', response = 'loans', n.ahead = 10,
ortho = TRUE, cumulative = FALSE, boot = TRUE, ci = 0.95,
runs = 100, seed = NULL), error = function(e){print("error")})), error = function(e){print("error")})
}
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 40
Log Likelihood: 136.258
Roots of the characteristic polynomial:
0.7385 0.7385 0.7238 0.7238 0.6255 0.5251 0.5251 0.017
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.063588 0.182972 -0.348 0.7314
capital.l1 0.240158 0.174453 1.377 0.1819
loans.l2 0.149773 0.102200 1.465 0.1563
capital.l2 -0.040710 0.164684 -0.247 0.8069
loans.l3 0.169891 0.094435 1.799 0.0852 .
capital.l3 -0.065143 0.167178 -0.390 0.7004
loans.l4 0.002860 0.002253 1.270 0.2169
capital.l4 -0.018516 0.135637 -0.137 0.8926
const 0.073814 0.041426 1.782 0.0880 .
ten_two -0.027385 0.018150 -1.509 0.1450
ten_two_unexp 0.057666 0.048992 1.177 0.2512
ten 0.048819 0.212836 0.229 0.8206
ten_unexp -0.114132 0.233023 -0.490 0.6289
cpi -2.918349 2.890202 -1.010 0.3231
cpi_unexp 2.321657 2.404506 0.966 0.3443
jobs -1.497612 3.805509 -0.394 0.6975
jobs_unexp -0.360086 8.638066 -0.042 0.9671
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.04949 on 23 degrees of freedom
Multiple R-Squared: 0.7629, Adjusted R-squared: 0.598
F-statistic: 4.625 on 16 and 23 DF, p-value: 0.0004707
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.0519912 0.2527496 -0.206 0.839
capital.l1 -0.0406962 0.2409816 -0.169 0.867
loans.l2 -0.0675380 0.1411749 -0.478 0.637
capital.l2 -0.1455946 0.2274871 -0.640 0.528
loans.l3 0.0162058 0.1304482 0.124 0.902
capital.l3 0.0177942 0.2309315 0.077 0.939
loans.l4 0.0005632 0.0031116 0.181 0.858
capital.l4 -0.2964196 0.1873631 -1.582 0.127
const -0.0077668 0.0572239 -0.136 0.893
ten_two 0.0203229 0.0250711 0.811 0.426
ten_two_unexp 0.0111111 0.0676760 0.164 0.871
ten -0.0409693 0.2940023 -0.139 0.890
ten_unexp -0.0524393 0.3218870 -0.163 0.872
cpi -2.9395804 3.9923939 -0.736 0.469
cpi_unexp 2.7744465 3.3214745 0.835 0.412
jobs 5.5600422 5.2567563 1.058 0.301
jobs_unexp 4.1567672 11.9322303 0.348 0.731
Residual standard error: 0.06837 on 23 degrees of freedom
Multiple R-Squared: 0.3583, Adjusted R-squared: -0.08816
F-statistic: 0.8025 on 16 and 23 DF, p-value: 0.6702
Covariance matrix of residuals:
loans capital
loans 0.0024495 0.0002199
capital 0.0002199 0.0046739
Correlation matrix of residuals:
loans capital
loans 1.00000 0.06499
capital 0.06499 1.00000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 20
Log Likelihood: 81.19
Roots of the characteristic polynomial:
0.1209 0.1209
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.11802 0.37557 -0.314 0.761
capital.l1 0.62948 0.59209 1.063 0.315
const -0.08276 0.18335 -0.451 0.662
ten_two 0.04215 0.05330 0.791 0.449
ten_two_unexp -0.02068 0.21134 -0.098 0.924
ten -0.64138 0.44767 -1.433 0.186
ten_unexp 0.48848 0.44947 1.087 0.305
cpi 8.03090 10.33858 0.777 0.457
cpi_unexp -3.30584 10.36377 -0.319 0.757
jobs -4.91707 43.74363 -0.112 0.913
jobs_unexp -10.44708 33.61281 -0.311 0.763
Residual standard error: 0.07525 on 9 degrees of freedom
Multiple R-Squared: 0.3039, Adjusted R-squared: -0.4695
F-statistic: 0.393 on 10 and 9 DF, p-value: 0.9191
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -2.323e-02 1.505e-01 -0.154 0.881
capital.l1 4.344e-05 2.373e-01 0.000 1.000
const -6.512e-02 7.347e-02 -0.886 0.398
ten_two -3.413e-02 2.136e-02 -1.598 0.145
ten_two_unexp 5.756e-02 8.468e-02 0.680 0.514
ten -1.371e-01 1.794e-01 -0.764 0.464
ten_unexp 3.664e-02 1.801e-01 0.203 0.843
cpi 5.576e+00 4.143e+00 1.346 0.211
cpi_unexp -3.949e+00 4.153e+00 -0.951 0.366
jobs 2.467e+01 1.753e+01 1.407 0.193
jobs_unexp -1.117e+00 1.347e+01 -0.083 0.936
Residual standard error: 0.03015 on 9 degrees of freedom
Multiple R-Squared: 0.3739, Adjusted R-squared: -0.3218
F-statistic: 0.5374 on 10 and 9 DF, p-value: 0.8264
Covariance matrix of residuals:
loans capital
loans 0.0056625 0.0003258
capital 0.0003258 0.0009092
Correlation matrix of residuals:
loans capital
loans 1.0000 0.1436
capital 0.1436 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 59
Log Likelihood: 221.989
Roots of the characteristic polynomial:
0.9312 0.9312 0.8735 0.8735 0.855 0.8286 0.8286 0.8076 0.8076 0.6932 0.6932 0.004976
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.2006879 0.1581706 1.269 0.212227
capital.l1 0.1725549 0.1348906 1.279 0.208576
loans.l2 -0.0558129 0.1338993 -0.417 0.679150
capital.l2 0.1324262 0.1162869 1.139 0.261920
loans.l3 0.1031370 0.1321600 0.780 0.439993
capital.l3 0.1627404 0.1183655 1.375 0.177217
loans.l4 -0.0825077 0.1283552 -0.643 0.524209
capital.l4 -0.0042033 0.1175511 -0.036 0.971663
loans.l5 0.1593468 0.1243146 1.282 0.207678
capital.l5 0.4408748 0.1199915 3.674 0.000733 ***
loans.l6 -0.3490884 0.1420864 -2.457 0.018694 *
capital.l6 0.0610293 0.1229219 0.496 0.622410
const -0.0008226 0.0211169 -0.039 0.969132
ten_two -0.0113649 0.0080332 -1.415 0.165287
ten_two_unexp -0.0311228 0.0314831 -0.989 0.329134
ten 0.1804761 0.1533787 1.177 0.246646
ten_unexp -0.1413010 0.1734133 -0.815 0.420252
cpi 1.8129332 2.0721482 0.875 0.387122
cpi_unexp -1.8385429 1.6746405 -1.098 0.279168
jobs 0.5295625 2.2237246 0.238 0.813050
jobs_unexp -1.7680698 4.6462496 -0.381 0.705666
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.04311 on 38 degrees of freedom
Multiple R-Squared: 0.4672, Adjusted R-squared: 0.1868
F-statistic: 1.666 on 20 and 38 DF, p-value: 0.08635
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.132524 0.180545 0.734 0.4674
capital.l1 -0.040907 0.153972 -0.266 0.7919
loans.l2 -0.304894 0.152840 -1.995 0.0533 .
capital.l2 -0.251990 0.132736 -1.898 0.0653 .
loans.l3 0.262664 0.150855 1.741 0.0897 .
capital.l3 -0.153324 0.135109 -1.135 0.2636
loans.l4 0.060937 0.146512 0.416 0.6798
capital.l4 0.018027 0.134179 0.134 0.8938
loans.l5 0.219122 0.141900 1.544 0.1308
capital.l5 -0.196046 0.136965 -1.431 0.1605
loans.l6 0.379129 0.162185 2.338 0.0248 *
capital.l6 -0.064546 0.140310 -0.460 0.6481
const 0.015689 0.024104 0.651 0.5190
ten_two 0.006288 0.009170 0.686 0.4970
ten_two_unexp 0.048074 0.035937 1.338 0.1889
ten 0.100257 0.175075 0.573 0.5703
ten_unexp -0.202517 0.197944 -1.023 0.3127
cpi -3.052142 2.365265 -1.290 0.2047
cpi_unexp 0.807675 1.911528 0.423 0.6750
jobs -0.214444 2.538283 -0.084 0.9331
jobs_unexp -7.821926 5.303488 -1.475 0.1485
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.04921 on 38 degrees of freedom
Multiple R-Squared: 0.438, Adjusted R-squared: 0.1421
F-statistic: 1.481 on 20 and 38 DF, p-value: 0.1461
Covariance matrix of residuals:
loans capital
loans 0.0018588 -0.0002108
capital -0.0002108 0.0024219
Correlation matrix of residuals:
loans capital
loans 1.00000 -0.09936
capital -0.09936 1.00000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 64
Log Likelihood: 268.575
Roots of the characteristic polynomial:
0.3593 0.1443
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.1874914 0.1377984 1.361 0.1794
capital.l1 0.2630013 0.1364745 1.927 0.0593 .
const 0.0180399 0.0171161 1.054 0.2967
ten_two 0.0005794 0.0062926 0.092 0.9270
ten_two_unexp -0.0259456 0.0218475 -1.188 0.2403
ten -0.0309251 0.0943767 -0.328 0.7444
ten_unexp 0.0826116 0.1028460 0.803 0.4254
cpi 0.7072083 1.2340186 0.573 0.5690
cpi_unexp -1.6702737 1.1167098 -1.496 0.1407
jobs -0.3579249 1.2929918 -0.277 0.7830
jobs_unexp 2.6570938 2.7113350 0.980 0.3315
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.0324 on 53 degrees of freedom
Multiple R-Squared: 0.2419, Adjusted R-squared: 0.09884
F-statistic: 1.691 on 10 and 53 DF, p-value: 0.1073
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.216678 0.140029 1.547 0.12772
capital.l1 0.027506 0.138684 0.198 0.84354
const 0.051602 0.017393 2.967 0.00451 **
ten_two -0.015683 0.006394 -2.453 0.01751 *
ten_two_unexp -0.011053 0.022201 -0.498 0.62063
ten 0.071849 0.095905 0.749 0.45707
ten_unexp -0.047324 0.104511 -0.453 0.65253
cpi -0.065500 1.253998 -0.052 0.95854
cpi_unexp -0.033927 1.134790 -0.030 0.97626
jobs 0.105788 1.313926 0.081 0.93613
jobs_unexp 2.327390 2.755233 0.845 0.40207
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.03292 on 53 degrees of freedom
Multiple R-Squared: 0.3028, Adjusted R-squared: 0.1712
F-statistic: 2.301 on 10 and 53 DF, p-value: 0.02497
Covariance matrix of residuals:
loans capital
loans 1.050e-03 -7.703e-05
capital -7.703e-05 1.084e-03
Correlation matrix of residuals:
loans capital
loans 1.00000 -0.07221
capital -0.07221 1.00000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 64
Log Likelihood: 327.05
Roots of the characteristic polynomial:
0.0747 0.0747
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.036301 0.129770 0.280 0.7808
capital.l1 -0.054369 0.177709 -0.306 0.7608
const 0.013767 0.010159 1.355 0.1811
ten_two -0.004518 0.004220 -1.070 0.2893
ten_two_unexp 0.010352 0.015330 0.675 0.5025
ten 0.026063 0.070289 0.371 0.7123
ten_unexp -0.066447 0.075151 -0.884 0.3806
cpi 0.944631 0.966382 0.977 0.3328
cpi_unexp -1.872489 0.846005 -2.213 0.0312 *
jobs -0.379205 0.963285 -0.394 0.6954
jobs_unexp 1.568801 1.982844 0.791 0.4324
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.0237 on 53 degrees of freedom
Multiple R-Squared: 0.1703, Adjusted R-squared: 0.01369
F-statistic: 1.087 on 10 and 53 DF, p-value: 0.3884
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.111837 0.098747 1.133 0.26250
capital.l1 -0.013794 0.135225 -0.102 0.91914
const 0.019796 0.007730 2.561 0.01332 *
ten_two -0.008845 0.003211 -2.754 0.00804 **
ten_two_unexp 0.004553 0.011665 0.390 0.69785
ten -0.119029 0.053485 -2.225 0.03033 *
ten_unexp 0.114031 0.057185 1.994 0.05130 .
cpi 1.307347 0.735355 1.778 0.08117 .
cpi_unexp -0.476233 0.643756 -0.740 0.46270
jobs -0.708848 0.732999 -0.967 0.33791
jobs_unexp 0.543804 1.508817 0.360 0.71997
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.01803 on 53 degrees of freedom
Multiple R-Squared: 0.2981, Adjusted R-squared: 0.1657
F-statistic: 2.251 on 10 and 53 DF, p-value: 0.0282
Covariance matrix of residuals:
loans capital
loans 5.617e-04 -2.523e-05
capital -2.523e-05 3.253e-04
Correlation matrix of residuals:
loans capital
loans 1.00000 -0.05902
capital -0.05902 1.00000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 62
Log Likelihood: 205.194
Roots of the characteristic polynomial:
0.8893 0.6606 0.6606 0.4997 0.4997 0.3103
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.197805 0.136883 1.445 0.1551
capital.l1 0.074639 0.096050 0.777 0.4410
loans.l2 0.192668 0.137095 1.405 0.1665
capital.l2 -0.036115 0.091013 -0.397 0.6933
loans.l3 0.380524 0.137124 2.775 0.0079 **
capital.l3 -0.057556 0.095889 -0.600 0.5512
const 0.033548 0.021172 1.585 0.1198
ten_two -0.013844 0.008403 -1.647 0.1061
ten_two_unexp -0.002652 0.028691 -0.092 0.9268
ten 0.076650 0.136309 0.562 0.5766
ten_unexp -0.061185 0.146503 -0.418 0.6781
cpi -0.550743 1.694814 -0.325 0.7467
cpi_unexp 0.375750 1.557603 0.241 0.8104
jobs 0.115282 2.002242 0.058 0.9543
jobs_unexp 2.975684 3.882777 0.766 0.4473
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.04398 on 47 degrees of freedom
Multiple R-Squared: 0.5931, Adjusted R-squared: 0.4719
F-statistic: 4.893 on 14 and 47 DF, p-value: 1.839e-05
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.217697 0.201058 1.083 0.2844
capital.l1 0.062157 0.141080 0.441 0.6615
loans.l2 -0.007952 0.201368 -0.039 0.9687
capital.l2 -0.126744 0.133682 -0.948 0.3479
loans.l3 -0.029529 0.201411 -0.147 0.8841
capital.l3 -0.074546 0.140844 -0.529 0.5991
const 0.002249 0.031099 0.072 0.9426
ten_two 0.005416 0.012342 0.439 0.6628
ten_two_unexp -0.019720 0.042142 -0.468 0.6420
ten 0.405346 0.200214 2.025 0.0486 *
ten_unexp -0.441177 0.215187 -2.050 0.0459 *
cpi 1.410279 2.489381 0.567 0.5737
cpi_unexp 0.828501 2.287843 0.362 0.7189
jobs 0.752392 2.940939 0.256 0.7992
jobs_unexp -9.570880 5.703111 -1.678 0.0999 .
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.0646 on 47 degrees of freedom
Multiple R-Squared: 0.2055, Adjusted R-squared: -0.03118
F-statistic: 0.8683 on 14 and 47 DF, p-value: 0.5959
Covariance matrix of residuals:
loans capital
loans 0.0019346 0.0003366
capital 0.0003366 0.0041737
Correlation matrix of residuals:
loans capital
loans 1.0000 0.1185
capital 0.1185 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 55
Log Likelihood: 241.939
Roots of the characteristic polynomial:
1.03 1.011 1.011 0.9958 0.9958 0.9763 0.9763 0.9533 0.9533 0.9404 0.9404 0.8859 0.8859 0.8796 0.8796 0.8679 0.8679 0.8118 0.8118 0.3416
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.277398 0.187441 1.480 0.1509
capital.l1 0.134912 0.140532 0.960 0.3459
loans.l2 0.506036 0.232253 2.179 0.0386 *
capital.l2 -0.219851 0.127839 -1.720 0.0974 .
loans.l3 0.141267 0.206447 0.684 0.4999
capital.l3 -0.287716 0.138130 -2.083 0.0472 *
loans.l4 0.336209 0.205240 1.638 0.1134
capital.l4 -0.143346 0.109081 -1.314 0.2003
loans.l5 -0.401631 0.207039 -1.940 0.0633 .
capital.l5 0.065057 0.111701 0.582 0.5653
loans.l6 0.156364 0.224906 0.695 0.4931
capital.l6 0.150872 0.130264 1.158 0.2573
loans.l7 0.215445 0.211818 1.017 0.3185
capital.l7 -0.110801 0.139637 -0.793 0.4347
loans.l8 -0.377269 0.207629 -1.817 0.0808 .
capital.l8 0.230378 0.147852 1.558 0.1313
loans.l9 0.222419 0.229217 0.970 0.3408
capital.l9 0.185188 0.148950 1.243 0.2249
loans.l10 0.408796 0.258813 1.580 0.1263
capital.l10 -0.184261 0.140093 -1.315 0.1999
const 0.010331 0.015154 0.682 0.5014
ten_two -0.005734 0.005968 -0.961 0.3455
ten_two_unexp -0.025929 0.029107 -0.891 0.3812
ten 0.201508 0.128826 1.564 0.1299
ten_unexp -0.110368 0.126179 -0.875 0.3897
cpi -1.079843 2.146345 -0.503 0.6191
cpi_unexp -1.389463 1.544293 -0.900 0.3765
jobs 1.595445 2.799738 0.570 0.5737
jobs_unexp -0.366249 3.632200 -0.101 0.9205
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.03164 on 26 degrees of freedom
Multiple R-Squared: 0.5843, Adjusted R-squared: 0.1367
F-statistic: 1.305 on 28 and 26 DF, p-value: 0.2487
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.299278 0.286081 1.046 0.3051
capital.l1 -0.338000 0.214487 -1.576 0.1271
loans.l2 0.814124 0.354476 2.297 0.0299 *
capital.l2 0.029201 0.195114 0.150 0.8822
loans.l3 -0.269861 0.315089 -0.856 0.3996
capital.l3 -0.267200 0.210821 -1.267 0.2162
loans.l4 0.147598 0.313248 0.471 0.6414
capital.l4 0.097998 0.166484 0.589 0.5612
loans.l5 0.006652 0.315993 0.021 0.9834
capital.l5 0.177183 0.170483 1.039 0.3082
loans.l6 -0.131206 0.343263 -0.382 0.7054
capital.l6 0.196180 0.198816 0.987 0.3329
loans.l7 0.866264 0.323287 2.680 0.0126 *
capital.l7 -0.159119 0.213121 -0.747 0.4620
loans.l8 0.221546 0.316894 0.699 0.4907
capital.l8 0.311552 0.225659 1.381 0.1791
loans.l9 0.267281 0.349841 0.764 0.4517
capital.l9 -0.081394 0.227335 -0.358 0.7232
loans.l10 0.676510 0.395013 1.713 0.0987 .
capital.l10 -0.506227 0.213817 -2.368 0.0256 *
const 0.001563 0.023129 0.068 0.9466
ten_two -0.004842 0.009109 -0.532 0.5996
ten_two_unexp -0.072991 0.044424 -1.643 0.1124
ten 0.221097 0.196620 1.124 0.2711
ten_unexp -0.065488 0.192581 -0.340 0.7365
cpi -2.237032 3.275852 -0.683 0.5007
cpi_unexp 1.427884 2.356972 0.606 0.5499
jobs 4.304338 4.273092 1.007 0.3231
jobs_unexp -5.133487 5.543634 -0.926 0.3630
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.04829 on 26 degrees of freedom
Multiple R-Squared: 0.5531, Adjusted R-squared: 0.07183
F-statistic: 1.149 on 28 and 26 DF, p-value: 0.3622
Covariance matrix of residuals:
loans capital
loans 0.0010010 0.0001297
capital 0.0001297 0.0023318
Correlation matrix of residuals:
loans capital
loans 1.00000 0.08486
capital 0.08486 1.00000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 38
Log Likelihood: 110.826
Roots of the characteristic polynomial:
0.9915 0.9915 0.9828 0.9828 0.9806 0.9806 0.9549 0.9549 0.9025 0.9025 0.9025 0.9025 0.8897 0.8897 0.8854 0.8854 0.7257 0.7257 0.5748 0.01215
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.433295 0.455959 0.950 0.367
capital.l1 0.061235 0.140946 0.434 0.674
loans.l2 -0.171709 0.333620 -0.515 0.619
capital.l2 0.098039 0.100612 0.974 0.355
loans.l3 0.066100 0.335314 0.197 0.848
capital.l3 0.017429 0.126874 0.137 0.894
loans.l4 0.280216 0.432470 0.648 0.533
capital.l4 -0.017725 0.179831 -0.099 0.924
loans.l5 -0.225585 0.356789 -0.632 0.543
capital.l5 0.100338 0.120017 0.836 0.425
loans.l6 0.046904 0.398323 0.118 0.909
capital.l6 0.049968 0.136930 0.365 0.724
loans.l7 0.036407 0.340965 0.107 0.917
capital.l7 0.120363 0.099723 1.207 0.258
loans.l8 -0.251288 0.334829 -0.750 0.472
capital.l8 0.086920 0.151003 0.576 0.579
loans.l9 -0.268834 0.263933 -1.019 0.335
capital.l9 0.070499 0.103301 0.682 0.512
loans.l10 0.004168 0.003638 1.146 0.281
capital.l10 0.034714 0.124619 0.279 0.787
const 0.011910 0.114954 0.104 0.920
ten_two 0.017025 0.044867 0.379 0.713
ten_two_unexp -0.100637 0.216165 -0.466 0.653
ten 0.157250 0.436157 0.361 0.727
ten_unexp 0.222185 0.591718 0.375 0.716
cpi -5.160351 7.797364 -0.662 0.525
cpi_unexp 2.345560 9.267565 0.253 0.806
jobs 2.184190 11.417425 0.191 0.853
jobs_unexp -10.458224 14.258107 -0.733 0.482
Residual standard error: 0.08782 on 9 degrees of freedom
Multiple R-Squared: 0.7232, Adjusted R-squared: -0.1379
F-statistic: 0.8398 on 28 and 9 DF, p-value: 0.6611
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.535150 0.824050 0.649 0.53229
capital.l1 0.102366 0.254731 0.402 0.69716
loans.l2 0.945012 0.602948 1.567 0.15148
capital.l2 -0.324470 0.181835 -1.784 0.10802
loans.l3 0.231184 0.606010 0.381 0.71169
capital.l3 0.069455 0.229298 0.303 0.76885
loans.l4 -0.331140 0.781600 -0.424 0.68175
capital.l4 -0.191774 0.325006 -0.590 0.56966
loans.l5 -0.311152 0.644822 -0.483 0.64094
capital.l5 -0.204679 0.216905 -0.944 0.37000
loans.l6 0.172176 0.719887 0.239 0.81633
capital.l6 -0.175042 0.247473 -0.707 0.49727
loans.l7 -0.238719 0.616223 -0.387 0.70747
capital.l7 0.018564 0.180229 0.103 0.92022
loans.l8 1.622858 0.605134 2.682 0.02513 *
capital.l8 0.227736 0.272907 0.834 0.42560
loans.l9 -1.627868 0.477003 -3.413 0.00772 **
capital.l9 -0.188958 0.186696 -1.012 0.33792
loans.l10 0.015230 0.006574 2.317 0.04574 *
capital.l10 -0.175665 0.225223 -0.780 0.45543
const 0.038250 0.207755 0.184 0.85801
ten_two 0.057354 0.081087 0.707 0.49728
ten_two_unexp -1.161546 0.390674 -2.973 0.01562 *
ten 0.208670 0.788262 0.265 0.79719
ten_unexp 1.382669 1.069408 1.293 0.22824
cpi -3.276586 14.092115 -0.233 0.82134
cpi_unexp -6.947916 16.749196 -0.415 0.68799
jobs 5.829590 20.634623 0.283 0.78394
jobs_unexp -20.494460 25.768566 -0.795 0.44689
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.1587 on 9 degrees of freedom
Multiple R-Squared: 0.8261, Adjusted R-squared: 0.285
F-statistic: 1.527 on 28 and 9 DF, p-value: 0.2589
Covariance matrix of residuals:
loans capital
loans 0.007713 -0.003907
capital -0.003907 0.025192
Correlation matrix of residuals:
loans capital
loans 1.0000 -0.2803
capital -0.2803 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 55
Log Likelihood: 263.219
Roots of the characteristic polynomial:
0.9136 0.9136 0.9119 0.9119 0.905 0.905 0.8974 0.8974 0.8957 0.8957 0.8939 0.8939 0.8926 0.8926 0.8859 0.8485 0.8485 0.8098 0.8098 0.733
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.079765 0.189284 0.421 0.6769
capital.l1 0.148091 0.149363 0.991 0.3306
loans.l2 0.262423 0.201216 1.304 0.2036
capital.l2 0.035578 0.130066 0.274 0.7866
loans.l3 0.512963 0.216056 2.374 0.0253 *
capital.l3 0.164881 0.153866 1.072 0.2938
loans.l4 -0.129724 0.188785 -0.687 0.4981
capital.l4 -0.073093 0.132582 -0.551 0.5861
loans.l5 -0.193447 0.177756 -1.088 0.2865
capital.l5 0.005300 0.126701 0.042 0.9670
loans.l6 -0.189596 0.166907 -1.136 0.2663
capital.l6 -0.016673 0.111610 -0.149 0.8824
loans.l7 0.151738 0.189501 0.801 0.4305
capital.l7 -0.100702 0.112224 -0.897 0.3778
loans.l8 0.004593 0.053465 0.086 0.9322
capital.l8 0.066679 0.110593 0.603 0.5518
loans.l9 -0.024408 0.053274 -0.458 0.6506
capital.l9 0.156619 0.110067 1.423 0.1666
loans.l10 0.033511 0.052357 0.640 0.5277
capital.l10 0.268773 0.133639 2.011 0.0548 .
const 0.011796 0.024924 0.473 0.6400
ten_two -0.005681 0.007970 -0.713 0.4823
ten_two_unexp -0.006133 0.030571 -0.201 0.8426
ten -0.045016 0.117437 -0.383 0.7046
ten_unexp 0.123255 0.137819 0.894 0.3794
cpi -2.769101 1.692877 -1.636 0.1139
cpi_unexp 0.393615 1.352473 0.291 0.7733
jobs 0.821868 2.004307 0.410 0.6851
jobs_unexp -0.161545 4.224409 -0.038 0.9698
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.0318 on 26 degrees of freedom
Multiple R-Squared: 0.6144, Adjusted R-squared: 0.1991
F-statistic: 1.48 on 28 and 26 DF, p-value: 0.1593
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.063531 0.198503 0.320 0.751487
capital.l1 -0.123890 0.156638 -0.791 0.436140
loans.l2 -0.046190 0.211016 -0.219 0.828441
capital.l2 -0.151160 0.136401 -1.108 0.277919
loans.l3 0.268776 0.226579 1.186 0.246257
capital.l3 -0.051612 0.161360 -0.320 0.751632
loans.l4 -0.185944 0.197980 -0.939 0.356268
capital.l4 -0.017153 0.139040 -0.123 0.902762
loans.l5 -0.037111 0.186414 -0.199 0.843749
capital.l5 0.044905 0.132872 0.338 0.738112
loans.l6 0.260738 0.175036 1.490 0.148355
capital.l6 0.074373 0.117046 0.635 0.530710
loans.l7 -0.176096 0.198731 -0.886 0.383684
capital.l7 -0.008344 0.117690 -0.071 0.944025
loans.l8 0.065453 0.056069 1.167 0.253656
capital.l8 0.163882 0.115979 1.413 0.169507
loans.l9 0.026718 0.055869 0.478 0.636485
capital.l9 -0.043547 0.115428 -0.377 0.709038
loans.l10 -0.250027 0.054907 -4.554 0.000109 ***
capital.l10 0.133283 0.140148 0.951 0.350355
const 0.021244 0.026138 0.813 0.423738
ten_two -0.003527 0.008358 -0.422 0.676492
ten_two_unexp -0.025332 0.032060 -0.790 0.436589
ten -0.121912 0.123157 -0.990 0.331350
ten_unexp 0.171417 0.144531 1.186 0.246340
cpi -0.003077 1.775329 -0.002 0.998630
cpi_unexp -0.753404 1.418345 -0.531 0.599799
jobs -1.069746 2.101927 -0.509 0.615089
jobs_unexp -2.650732 4.430159 -0.598 0.554792
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.03335 on 26 degrees of freedom
Multiple R-Squared: 0.7513, Adjusted R-squared: 0.4835
F-statistic: 2.805 on 28 and 26 DF, p-value: 0.004967
Covariance matrix of residuals:
loans capital
loans 0.0010112 -0.0002361
capital -0.0002361 0.0011121
Correlation matrix of residuals:
loans capital
loans 1.0000 -0.2226
capital -0.2226 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 55
Log Likelihood: 226.022
Roots of the characteristic polynomial:
1.015 1.015 0.9625 0.9625 0.9614 0.9614 0.9537 0.9537 0.9228 0.8837 0.8837 0.8683 0.8683 0.8469 0.8469 0.7894 0.7894 0.5198 0.471 0.471
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.529184 0.161774 3.271 0.00302 **
capital.l1 -0.026677 0.035664 -0.748 0.46116
loans.l2 -0.206464 0.217328 -0.950 0.35086
capital.l2 0.008145 0.034597 0.235 0.81573
loans.l3 0.540323 0.209288 2.582 0.01582 *
capital.l3 0.039038 0.033392 1.169 0.25298
loans.l4 0.079366 0.192724 0.412 0.68385
capital.l4 -0.020263 0.035300 -0.574 0.57089
loans.l5 0.060921 0.185219 0.329 0.74486
capital.l5 -0.016667 0.038823 -0.429 0.67123
loans.l6 0.068210 0.185244 0.368 0.71569
capital.l6 -0.017018 0.035136 -0.484 0.63219
loans.l7 0.226654 0.173894 1.303 0.20386
capital.l7 0.066326 0.047041 1.410 0.17040
loans.l8 -0.330588 0.172775 -1.913 0.06677 .
capital.l8 0.025641 0.042038 0.610 0.54719
loans.l9 0.208165 0.167629 1.242 0.22539
capital.l9 -0.055172 0.039386 -1.401 0.17309
loans.l10 -0.409446 0.149554 -2.738 0.01101 *
capital.l10 0.030866 0.037238 0.829 0.41472
const -0.016058 0.013368 -1.201 0.24050
ten_two 0.003669 0.005913 0.620 0.54038
ten_two_unexp -0.031913 0.024670 -1.294 0.20719
ten -0.104326 0.077793 -1.341 0.19150
ten_unexp 0.126080 0.083429 1.511 0.14279
cpi 1.689341 1.358887 1.243 0.22490
cpi_unexp 0.801314 1.278752 0.627 0.53636
jobs 0.430168 1.493323 0.288 0.77558
jobs_unexp -3.961649 2.565956 -1.544 0.13469
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.02131 on 26 degrees of freedom
Multiple R-Squared: 0.8934, Adjusted R-squared: 0.7786
F-statistic: 7.782 on 28 and 26 DF, p-value: 6.191e-07
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -1.332381 0.736008 -1.810 0.08183 .
capital.l1 -0.081106 0.162256 -0.500 0.62137
loans.l2 0.844986 0.988759 0.855 0.40058
capital.l2 -0.036642 0.157404 -0.233 0.81775
loans.l3 -0.493027 0.952180 -0.518 0.60898
capital.l3 -0.005476 0.151921 -0.036 0.97152
loans.l4 -0.204338 0.876816 -0.233 0.81755
capital.l4 0.217562 0.160599 1.355 0.18717
loans.l5 -0.767167 0.842674 -0.910 0.37098
capital.l5 -0.060041 0.176629 -0.340 0.73664
loans.l6 1.659953 0.842789 1.970 0.05963 .
capital.l6 0.074718 0.159853 0.467 0.64410
loans.l7 -0.898763 0.791149 -1.136 0.26631
capital.l7 -0.236474 0.214019 -1.105 0.27931
loans.l8 0.064789 0.786058 0.082 0.93494
capital.l8 -0.107519 0.191255 -0.562 0.57881
loans.l9 1.173538 0.762646 1.539 0.13594
capital.l9 -0.030571 0.179190 -0.171 0.86585
loans.l10 0.372923 0.680411 0.548 0.58831
capital.l10 0.026768 0.169419 0.158 0.87568
const 0.205732 0.060821 3.383 0.00228 **
ten_two -0.077332 0.026904 -2.874 0.00797 **
ten_two_unexp -0.199359 0.112241 -1.776 0.08741 .
ten 0.957528 0.353928 2.705 0.01188 *
ten_unexp -0.377857 0.379571 -0.995 0.32868
cpi -14.676794 6.182402 -2.374 0.02527 *
cpi_unexp 9.176832 5.817819 1.577 0.12680
jobs 3.056077 6.794030 0.450 0.65657
jobs_unexp -0.547759 11.674089 -0.047 0.96293
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.09697 on 26 degrees of freedom
Multiple R-Squared: 0.6796, Adjusted R-squared: 0.3346
F-statistic: 1.97 on 28 and 26 DF, p-value: 0.04307
Covariance matrix of residuals:
loans capital
loans 0.0004543 0.000371
capital 0.0003710 0.009403
Correlation matrix of residuals:
loans capital
loans 1.0000 0.1795
capital 0.1795 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 64
Log Likelihood: 64.859
Roots of the characteristic polynomial:
0.06694 0.03548
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.08836 0.13442 -0.657 0.514
capital.l1 0.59152 0.44881 1.318 0.193
const 0.08024 0.11650 0.689 0.494
ten_two -0.02151 0.05014 -0.429 0.670
ten_two_unexp 0.23329 0.19020 1.227 0.225
ten 1.12671 0.87161 1.293 0.202
ten_unexp -1.22271 0.93368 -1.310 0.196
cpi -7.87292 11.06920 -0.711 0.480
cpi_unexp 4.10792 10.25911 0.400 0.690
jobs 9.89694 11.67438 0.848 0.400
jobs_unexp -3.41524 24.38141 -0.140 0.889
Residual standard error: 0.2934 on 53 degrees of freedom
Multiple R-Squared: 0.07807, Adjusted R-squared: -0.09588
F-statistic: 0.4488 on 10 and 53 DF, p-value: 0.9148
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.001915 0.040066 -0.048 0.9621
capital.l1 -0.014056 0.133778 -0.105 0.9167
const 0.055451 0.034726 1.597 0.1163
ten_two 0.018147 0.014944 1.214 0.2300
ten_two_unexp -0.036804 0.056693 -0.649 0.5190
ten 0.417833 0.259804 1.608 0.1137
ten_unexp -0.397720 0.278307 -1.429 0.1589
cpi -5.935512 3.299446 -1.799 0.0777 .
cpi_unexp 3.841524 3.057978 1.256 0.2145
jobs -3.078520 3.479834 -0.885 0.3803
jobs_unexp 7.183130 7.267476 0.988 0.3275
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.08746 on 53 degrees of freedom
Multiple R-Squared: 0.1917, Adjusted R-squared: 0.03913
F-statistic: 1.257 on 10 and 53 DF, p-value: 0.2786
Covariance matrix of residuals:
loans capital
loans 8.610e-02 -7.684e-05
capital -7.684e-05 7.650e-03
Correlation matrix of residuals:
loans capital
loans 1.000000 -0.002994
capital -0.002994 1.000000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 20
Log Likelihood: 100.458
Roots of the characteristic polynomial:
0.5605 0.4971
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.437785 0.370466 1.182 0.268
capital.l1 0.173351 0.179243 0.967 0.359
const -0.008761 0.049569 -0.177 0.864
ten_two -0.008927 0.015254 -0.585 0.573
ten_two_unexp 0.061748 0.067673 0.912 0.385
ten 0.024757 0.119339 0.207 0.840
ten_unexp -0.074267 0.126918 -0.585 0.573
cpi 0.860645 2.861562 0.301 0.770
cpi_unexp -1.261308 3.083981 -0.409 0.692
jobs 0.994606 11.589244 0.086 0.933
jobs_unexp 0.624106 11.816952 0.053 0.959
Residual standard error: 0.02049 on 9 degrees of freedom
Multiple R-Squared: 0.3066, Adjusted R-squared: -0.4639
F-statistic: 0.3979 on 10 and 9 DF, p-value: 0.9163
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.341610 0.794794 0.430 0.677
capital.l1 -0.501210 0.384547 -1.303 0.225
const 0.001353 0.106345 0.013 0.990
ten_two 0.038577 0.032725 1.179 0.269
ten_two_unexp -0.174641 0.145185 -1.203 0.260
ten -0.034222 0.256029 -0.134 0.897
ten_unexp 0.193934 0.272289 0.712 0.494
cpi -2.800952 6.139161 -0.456 0.659
cpi_unexp 2.588885 6.616337 0.391 0.705
jobs -8.578528 24.863428 -0.345 0.738
jobs_unexp -21.451105 25.351951 -0.846 0.419
Residual standard error: 0.04396 on 9 degrees of freedom
Multiple R-Squared: 0.304, Adjusted R-squared: -0.4693
F-statistic: 0.3932 on 10 and 9 DF, p-value: 0.919
Covariance matrix of residuals:
loans capital
loans 0.0004198 0.0002776
capital 0.0002776 0.0019323
Correlation matrix of residuals:
loans capital
loans 1.0000 0.3082
capital 0.3082 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 20
Log Likelihood: 109.158
Roots of the characteristic polynomial:
0.6012 0.229
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.155170 0.382527 0.406 0.6945
capital.l1 -0.942147 1.151853 -0.818 0.4345
const -0.247628 0.142898 -1.733 0.1172
ten_two -0.003982 0.038879 -0.102 0.9207
ten_two_unexp 0.099178 0.182243 0.544 0.5995
ten 0.371661 0.417464 0.890 0.3965
ten_unexp -0.299695 0.363845 -0.824 0.4314
cpi -8.082838 11.604459 -0.697 0.5037
cpi_unexp 3.126254 11.379767 0.275 0.7897
jobs 62.156840 31.375171 1.981 0.0789 .
jobs_unexp -30.654235 24.272456 -1.263 0.2384
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.05472 on 9 degrees of freedom
Multiple R-Squared: 0.5773, Adjusted R-squared: 0.1076
F-statistic: 1.229 on 10 and 9 DF, p-value: 0.3833
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.181868 0.082609 -2.202 0.0552 .
capital.l1 0.217010 0.248749 0.872 0.4057
const -0.017433 0.030860 -0.565 0.5859
ten_two 0.005957 0.008396 0.709 0.4960
ten_two_unexp -0.007143 0.039356 -0.181 0.8600
ten 0.106613 0.090154 1.183 0.2673
ten_unexp -0.144478 0.078574 -1.839 0.0991 .
cpi -4.841075 2.506050 -1.932 0.0854 .
cpi_unexp 4.455188 2.457526 1.813 0.1033
jobs 6.731994 6.775649 0.994 0.3464
jobs_unexp -2.924611 5.241777 -0.558 0.5905
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.01182 on 9 degrees of freedom
Multiple R-Squared: 0.6681, Adjusted R-squared: 0.2994
F-statistic: 1.812 on 10 and 9 DF, p-value: 0.1925
Covariance matrix of residuals:
loans capital
loans 0.0029945 -0.0003326
capital -0.0003326 0.0001397
Correlation matrix of residuals:
loans capital
loans 1.0000 -0.5143
capital -0.5143 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 39
Log Likelihood: 201.091
Roots of the characteristic polynomial:
0.9777 0.9777 0.9354 0.9354 0.9151 0.9151 0.9051 0.9051 0.8528 0.8528 0.84 0.84 0.801 0.801 0.6686 0.6686 0.6644 0.6644 0.4072 0.4072
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.289138 0.311203 -0.929 0.375
capital.l1 0.186781 0.259121 0.721 0.488
loans.l2 -0.168514 0.299378 -0.563 0.586
capital.l2 0.202440 0.234812 0.862 0.409
loans.l3 0.184196 0.314768 0.585 0.571
capital.l3 -0.083174 0.210479 -0.395 0.701
loans.l4 -0.136600 0.274157 -0.498 0.629
capital.l4 -0.133665 0.226301 -0.591 0.568
loans.l5 -0.211658 0.265427 -0.797 0.444
capital.l5 -0.058427 0.255830 -0.228 0.824
loans.l6 -0.045563 0.295644 -0.154 0.881
capital.l6 0.100100 0.111127 0.901 0.389
loans.l7 0.038203 0.319527 0.120 0.907
capital.l7 0.186713 0.123799 1.508 0.162
loans.l8 0.018635 0.262272 0.071 0.945
capital.l8 0.052899 0.105006 0.504 0.625
loans.l9 -0.190638 0.275205 -0.693 0.504
capital.l9 -0.102923 0.122284 -0.842 0.420
loans.l10 0.042920 0.026776 1.603 0.140
capital.l10 0.145461 0.103452 1.406 0.190
const 0.040683 0.063479 0.641 0.536
ten_two 0.004513 0.020334 0.222 0.829
ten_two_unexp 0.080045 0.054531 1.468 0.173
ten -0.023554 0.202287 -0.116 0.910
ten_unexp -0.070129 0.215615 -0.325 0.752
cpi -0.277202 4.749581 -0.058 0.955
cpi_unexp -4.568193 3.731769 -1.224 0.249
jobs -0.396162 6.145246 -0.064 0.950
jobs_unexp 7.474099 6.392652 1.169 0.269
Residual standard error: 0.03395 on 10 degrees of freedom
Multiple R-Squared: 0.7163, Adjusted R-squared: -0.07789
F-statistic: 0.9019 on 28 and 10 DF, p-value: 0.6102
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.419632 0.397490 1.056 0.3159
capital.l1 -0.380056 0.330968 -1.148 0.2776
loans.l2 0.435009 0.382387 1.138 0.2818
capital.l2 -0.242824 0.299918 -0.810 0.4370
loans.l3 0.362939 0.402043 0.903 0.3879
capital.l3 0.056756 0.268839 0.211 0.8370
loans.l4 0.147370 0.350172 0.421 0.6828
capital.l4 -0.047416 0.289048 -0.164 0.8730
loans.l5 0.260596 0.339022 0.769 0.4599
capital.l5 0.190948 0.326764 0.584 0.5719
loans.l6 -0.262789 0.377617 -0.696 0.5023
capital.l6 -0.063942 0.141939 -0.450 0.6620
loans.l7 -0.058470 0.408122 -0.143 0.8889
capital.l7 -0.156803 0.158125 -0.992 0.3448
loans.l8 -0.267037 0.334992 -0.797 0.4439
capital.l8 -0.095478 0.134121 -0.712 0.4928
loans.l9 -0.281701 0.351511 -0.801 0.4415
capital.l9 -0.165030 0.156190 -1.057 0.3156
loans.l10 -0.005850 0.034201 -0.171 0.8676
capital.l10 0.124249 0.132136 0.940 0.3692
const 0.150538 0.081079 1.857 0.0930 .
ten_two -0.054335 0.025972 -2.092 0.0629 .
ten_two_unexp -0.067924 0.069651 -0.975 0.3525
ten 0.109245 0.258375 0.423 0.6814
ten_unexp -0.003395 0.275398 -0.012 0.9904
cpi 2.639762 6.066493 0.435 0.6727
cpi_unexp -4.046636 4.766473 -0.849 0.4158
jobs -7.870928 7.849134 -1.003 0.3396
jobs_unexp 6.764152 8.165138 0.828 0.4268
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.04337 on 10 degrees of freedom
Multiple R-Squared: 0.6847, Adjusted R-squared: -0.1981
F-statistic: 0.7756 on 28 and 10 DF, p-value: 0.7166
Covariance matrix of residuals:
loans capital
loans 0.0011528 0.0006603
capital 0.0006603 0.0018807
Correlation matrix of residuals:
loans capital
loans 1.0000 0.4484
capital 0.4484 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 64
Log Likelihood: 233.855
Roots of the characteristic polynomial:
0.4057 0.07557
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.413145 0.125233 3.299 0.00174 **
capital.l1 -0.010195 0.079711 -0.128 0.89871
const 0.029397 0.014430 2.037 0.04664 *
ten_two -0.017976 0.006686 -2.689 0.00956 **
ten_two_unexp 0.007445 0.020645 0.361 0.71981
ten 0.088764 0.096057 0.924 0.35964
ten_unexp -0.091771 0.103642 -0.885 0.37990
cpi -0.539693 1.239615 -0.435 0.66506
cpi_unexp 0.345968 1.133719 0.305 0.76144
jobs 1.884000 1.305937 1.443 0.15501
jobs_unexp -1.313277 2.732240 -0.481 0.63274
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.03293 on 53 degrees of freedom
Multiple R-Squared: 0.5198, Adjusted R-squared: 0.4292
F-statistic: 5.737 on 10 and 53 DF, p-value: 8.888e-06
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.358167 0.214536 1.669 0.1009
capital.l1 -0.083042 0.136553 -0.608 0.5457
const 0.021219 0.024720 0.858 0.3946
ten_two -0.002758 0.011453 -0.241 0.8106
ten_two_unexp -0.010303 0.035368 -0.291 0.7720
ten 0.144608 0.164555 0.879 0.3835
ten_unexp -0.157022 0.177548 -0.884 0.3805
cpi -3.562556 2.123583 -1.678 0.0993 .
cpi_unexp 3.062014 1.942173 1.577 0.1208
jobs 2.549811 2.237200 1.140 0.2595
jobs_unexp -2.207806 4.680596 -0.472 0.6391
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.05641 on 53 degrees of freedom
Multiple R-Squared: 0.151, Adjusted R-squared: -0.009201
F-statistic: 0.9426 on 10 and 53 DF, p-value: 0.503
Covariance matrix of residuals:
loans capital
loans 0.0010842 0.0003159
capital 0.0003159 0.0031819
Correlation matrix of residuals:
loans capital
loans 1.0000 0.1701
capital 0.1701 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 20
Log Likelihood: 121.043
Roots of the characteristic polynomial:
0.06455 0.06455
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.0778985 0.3280630 0.237 0.818
capital.l1 0.0430630 0.2329299 0.185 0.857
const -0.0001637 0.0348035 -0.005 0.996
ten_two 0.0112047 0.0095539 1.173 0.271
ten_two_unexp -0.0115049 0.0401472 -0.287 0.781
ten 0.0337187 0.1073963 0.314 0.761
ten_unexp -0.0500711 0.0945009 -0.530 0.609
cpi -0.2133138 2.0977325 -0.102 0.921
cpi_unexp 1.9093930 2.1563044 0.885 0.399
jobs -3.4639708 7.9969531 -0.433 0.675
jobs_unexp 0.0598328 7.2135496 0.008 0.994
Residual standard error: 0.01472 on 9 degrees of freedom
Multiple R-Squared: 0.3515, Adjusted R-squared: -0.369
F-statistic: 0.4878 on 10 and 9 DF, p-value: 0.8606
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.26280 0.46422 -0.566 0.585
capital.l1 -0.09180 0.32961 -0.279 0.787
const 0.05645 0.04925 1.146 0.281
ten_two 0.01844 0.01352 1.364 0.206
ten_two_unexp 0.04698 0.05681 0.827 0.430
ten -0.01571 0.15197 -0.103 0.920
ten_unexp -0.15748 0.13372 -1.178 0.269
cpi -3.11866 2.96839 -1.051 0.321
cpi_unexp -1.47185 3.05127 -0.482 0.641
jobs -19.24809 11.31605 -1.701 0.123
jobs_unexp 3.58639 10.20750 0.351 0.733
Residual standard error: 0.02082 on 9 degrees of freedom
Multiple R-Squared: 0.7021, Adjusted R-squared: 0.3711
F-statistic: 2.121 on 10 and 9 DF, p-value: 0.1365
Covariance matrix of residuals:
loans capital
loans 2.166e-04 1.413e-05
capital 1.413e-05 4.336e-04
Correlation matrix of residuals:
loans capital
loans 1.00000 0.04612
capital 0.04612 1.00000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 50
Log Likelihood: 277.501
Roots of the characteristic polynomial:
0.9296 0.9296 0.9098 0.9098 0.9003 0.8899 0.8899 0.8879 0.8879 0.8846 0.8602 0.8602 0.8594 0.8594 0.785 0.785 0.7799 0.7799 0.5873 0.008528
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.091055 0.185705 -0.490 0.62899
capital.l1 2.542776 4.011988 0.634 0.53306
loans.l2 -0.505951 0.170599 -2.966 0.00738 **
capital.l2 -0.756693 3.985760 -0.190 0.85125
loans.l3 -0.098046 0.178604 -0.549 0.58883
capital.l3 4.628130 3.818873 1.212 0.23901
loans.l4 -0.193340 0.174802 -1.106 0.28121
capital.l4 -1.749645 4.123720 -0.424 0.67567
loans.l5 -0.028927 0.171959 -0.168 0.86802
capital.l5 0.220223 3.952128 0.056 0.95609
loans.l6 -0.116797 0.188645 -0.619 0.54249
capital.l6 -1.121131 1.432172 -0.783 0.44247
loans.l7 -0.113044 0.223405 -0.506 0.61812
capital.l7 -0.237311 0.997018 -0.238 0.81417
loans.l8 0.045180 0.216212 0.209 0.83649
capital.l8 -1.170743 0.943330 -1.241 0.22826
loans.l9 -0.163547 0.202799 -0.806 0.42902
capital.l9 0.612313 0.680857 0.899 0.37868
loans.l10 0.001219 0.003949 0.309 0.76062
capital.l10 -1.744859 0.731098 -2.387 0.02649 *
const 0.093503 0.122650 0.762 0.45433
ten_two -0.014174 0.040844 -0.347 0.73202
ten_two_unexp -0.128782 0.112233 -1.147 0.26410
ten 0.489975 0.491756 0.996 0.33041
ten_unexp -0.328017 0.538468 -0.609 0.54895
cpi -8.170194 6.929955 -1.179 0.25160
cpi_unexp 5.513426 5.435971 1.014 0.32201
jobs 19.150052 7.568908 2.530 0.01947 *
jobs_unexp -20.951715 14.406757 -1.454 0.16065
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.1138 on 21 degrees of freedom
Multiple R-Squared: 0.589, Adjusted R-squared: 0.04091
F-statistic: 1.075 on 28 and 21 DF, p-value: 0.4385
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.0043281 0.0077749 -0.557 0.5836
capital.l1 0.1953989 0.1679702 1.163 0.2578
loans.l2 -0.0030780 0.0071425 -0.431 0.6709
capital.l2 -0.2658007 0.1668721 -1.593 0.1261
loans.l3 -0.0041061 0.0074776 -0.549 0.5887
capital.l3 0.3950233 0.1598850 2.471 0.0221 *
loans.l4 -0.0155297 0.0073184 -2.122 0.0459 *
capital.l4 -0.1361966 0.1726481 -0.789 0.4390
loans.l5 -0.0126232 0.0071994 -1.753 0.0941 .
capital.l5 0.2107102 0.1654640 1.273 0.2168
loans.l6 -0.0178457 0.0078980 -2.260 0.0346 *
capital.l6 -0.0149288 0.0599608 -0.249 0.8058
loans.l7 -0.0042381 0.0093533 -0.453 0.6551
capital.l7 0.1191316 0.0417422 2.854 0.0095 **
loans.l8 -0.0128539 0.0090522 -1.420 0.1703
capital.l8 0.0033057 0.0394945 0.084 0.9341
loans.l9 0.0232295 0.0084906 2.736 0.0124 *
capital.l9 0.0654211 0.0285055 2.295 0.0321 *
loans.l10 -0.0001986 0.0001653 -1.201 0.2430
capital.l10 -0.0151140 0.0306089 -0.494 0.6266
const 0.0089113 0.0051350 1.735 0.0973 .
ten_two -0.0034463 0.0017100 -2.015 0.0568 .
ten_two_unexp 0.0101444 0.0046989 2.159 0.0426 *
ten 0.0300959 0.0205884 1.462 0.1586
ten_unexp -0.0540674 0.0225441 -2.398 0.0258 *
cpi -0.2740140 0.2901369 -0.944 0.3557
cpi_unexp 0.3131509 0.2275882 1.376 0.1833
jobs 0.5814790 0.3168880 1.835 0.0807 .
jobs_unexp -1.4055589 0.6031687 -2.330 0.0298 *
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.004763 on 21 degrees of freedom
Multiple R-Squared: 0.9108, Adjusted R-squared: 0.7918
F-statistic: 7.654 on 28 and 21 DF, p-value: 5.415e-06
Covariance matrix of residuals:
loans capital
loans 1.294e-02 -1.760e-06
capital -1.760e-06 2.269e-05
Correlation matrix of residuals:
loans capital
loans 1.000000 -0.003248
capital -0.003248 1.000000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 63
Log Likelihood: 168.698
Roots of the characteristic polynomial:
0.3995 0.3683 0.3683 0.1124
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -1.758e-01 1.481e-01 -1.187 0.2409
capital.l1 2.683e-01 5.438e-01 0.493 0.6239
loans.l2 -3.101e-04 1.320e-01 -0.002 0.9981
capital.l2 -5.841e-01 5.622e-01 -1.039 0.3038
const 1.032e-01 6.454e-02 1.600 0.1160
ten_two -8.787e-03 2.446e-02 -0.359 0.7209
ten_two_unexp 3.478e-02 9.462e-02 0.368 0.7147
ten 4.410e-01 4.224e-01 1.044 0.3015
ten_unexp -4.912e-01 4.671e-01 -1.052 0.2980
cpi -2.067e+00 5.862e+00 -0.353 0.7259
cpi_unexp -7.757e+00 5.341e+00 -1.452 0.1527
jobs -1.351e+01 6.231e+00 -2.169 0.0349 *
jobs_unexp 1.145e+01 1.236e+01 0.927 0.3586
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.1421 on 50 degrees of freedom
Multiple R-Squared: 0.3006, Adjusted R-squared: 0.1328
F-statistic: 1.791 on 12 and 50 DF, p-value: 0.0756
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.032530 0.037840 0.860 0.394
capital.l1 -0.158904 0.138894 -1.144 0.258
loans.l2 -0.010474 0.033715 -0.311 0.757
capital.l2 -0.084906 0.143613 -0.591 0.557
const -0.017250 0.016485 -1.046 0.300
ten_two 0.009826 0.006248 1.573 0.122
ten_two_unexp -0.033375 0.024167 -1.381 0.173
ten 0.078326 0.107887 0.726 0.471
ten_unexp -0.051875 0.119309 -0.435 0.666
cpi 1.985129 1.497331 1.326 0.191
cpi_unexp -1.998720 1.364332 -1.465 0.149
jobs 0.772384 1.591511 0.485 0.630
jobs_unexp 0.840578 3.157589 0.266 0.791
Residual standard error: 0.0363 on 50 degrees of freedom
Multiple R-Squared: 0.157, Adjusted R-squared: -0.04534
F-statistic: 0.7759 on 12 and 50 DF, p-value: 0.6718
Covariance matrix of residuals:
loans capital
loans 0.0202016 0.0009623
capital 0.0009623 0.0013180
Correlation matrix of residuals:
loans capital
loans 1.0000 0.1865
capital 0.1865 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 64
Log Likelihood: 103.953
Roots of the characteristic polynomial:
0.1558 0.07168
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.14119 0.16057 -0.879 0.3832
capital.l1 0.05608 0.18542 0.302 0.7635
const 0.13948 0.05639 2.474 0.0166 *
ten_two -0.04938 0.02373 -2.081 0.0423 *
ten_two_unexp -0.09982 0.08546 -1.168 0.2480
ten 0.09688 0.41000 0.236 0.8141
ten_unexp -0.01436 0.44815 -0.032 0.9746
cpi 1.97519 5.08250 0.389 0.6991
cpi_unexp -4.28371 4.61602 -0.928 0.3576
jobs -6.94156 5.33188 -1.302 0.1986
jobs_unexp 16.94719 11.15604 1.519 0.1347
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.1346 on 53 degrees of freedom
Multiple R-Squared: 0.1533, Adjusted R-squared: -0.006497
F-statistic: 0.9593 on 10 and 53 DF, p-value: 0.4889
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.01810 0.13906 0.130 0.89691
capital.l1 -0.08629 0.16058 -0.537 0.59326
const 0.15061 0.04883 3.084 0.00324 **
ten_two -0.03379 0.02055 -1.644 0.10604
ten_two_unexp -0.12900 0.07401 -1.743 0.08712 .
ten 0.30463 0.35506 0.858 0.39478
ten_unexp -0.31146 0.38810 -0.803 0.42583
cpi -2.01584 4.40141 -0.458 0.64883
cpi_unexp -0.23081 3.99744 -0.058 0.95417
jobs -5.96289 4.61737 -1.291 0.20217
jobs_unexp 13.99126 9.66105 1.448 0.15345
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.1166 on 53 degrees of freedom
Multiple R-Squared: 0.1807, Adjusted R-squared: 0.02606
F-statistic: 1.169 on 10 and 53 DF, p-value: 0.3324
Covariance matrix of residuals:
loans capital
loans 0.018124 0.007228
capital 0.007228 0.013592
Correlation matrix of residuals:
loans capital
loans 1.0000 0.4605
capital 0.4605 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 55
Log Likelihood: 177.952
Roots of the characteristic polynomial:
1.003 1.003 0.9889 0.9889 0.9848 0.9848 0.9426 0.9426 0.924 0.924 0.9163 0.9163 0.8995 0.8995 0.8851 0.8851 0.8506 0.8506 0.7629 0.3102
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.73696 0.21861 -3.371 0.00235 **
capital.l1 0.49601 0.21108 2.350 0.02665 *
loans.l2 -0.59171 0.20905 -2.830 0.00885 **
capital.l2 0.51973 0.22272 2.334 0.02762 *
loans.l3 -0.28614 0.18318 -1.562 0.13037
capital.l3 0.04008 0.21213 0.189 0.85160
loans.l4 -0.04735 0.15622 -0.303 0.76420
capital.l4 -0.02398 0.20871 -0.115 0.90942
loans.l5 -0.10181 0.16963 -0.600 0.55358
capital.l5 0.35201 0.24458 1.439 0.16201
loans.l6 -0.16148 0.16186 -0.998 0.32762
capital.l6 0.32612 0.20963 1.556 0.13187
loans.l7 -0.19104 0.18642 -1.025 0.31489
capital.l7 0.05113 0.22302 0.229 0.82045
loans.l8 -0.11545 0.17603 -0.656 0.51769
capital.l8 0.05340 0.34069 0.157 0.87666
loans.l9 -0.47357 0.17680 -2.679 0.01265 *
capital.l9 -0.50069 0.37502 -1.335 0.19342
loans.l10 -0.46458 0.19447 -2.389 0.02444 *
capital.l10 -0.51231 0.29072 -1.762 0.08979 .
const 0.26085 0.08016 3.254 0.00315 **
ten_two -0.09627 0.02610 -3.689 0.00105 **
ten_two_unexp 0.01714 0.08583 0.200 0.84328
ten -0.22111 0.27219 -0.812 0.42398
ten_unexp 0.38170 0.30510 1.251 0.22205
cpi 0.36547 5.03672 0.073 0.94271
cpi_unexp 4.38970 4.67353 0.939 0.35624
jobs -23.33751 8.47624 -2.753 0.01062 *
jobs_unexp 3.13222 9.22787 0.339 0.73701
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.07436 on 26 degrees of freedom
Multiple R-Squared: 0.6691, Adjusted R-squared: 0.3128
F-statistic: 1.878 on 28 and 26 DF, p-value: 0.05512
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.525910 0.211175 -2.490 0.01948 *
capital.l1 0.055937 0.203900 0.274 0.78599
loans.l2 -0.440954 0.201942 -2.184 0.03821 *
capital.l2 0.372140 0.215144 1.730 0.09554 .
loans.l3 -0.306543 0.176953 -1.732 0.09506 .
capital.l3 0.064429 0.204910 0.314 0.75571
loans.l4 -0.120081 0.150903 -0.796 0.43338
capital.l4 -0.179876 0.201607 -0.892 0.38046
loans.l5 0.001881 0.163865 0.011 0.99093
capital.l5 0.082613 0.236258 0.350 0.72940
loans.l6 -0.050700 0.156350 -0.324 0.74833
capital.l6 -0.103489 0.202495 -0.511 0.61362
loans.l7 -0.088528 0.180075 -0.492 0.62712
capital.l7 0.146409 0.215431 0.680 0.50276
loans.l8 0.114980 0.170040 0.676 0.50489
capital.l8 0.019363 0.329097 0.059 0.95353
loans.l9 0.058460 0.170790 0.342 0.73488
capital.l9 -0.319575 0.362263 -0.882 0.38577
loans.l10 -0.352811 0.187852 -1.878 0.07162 .
capital.l10 -0.247021 0.280831 -0.880 0.38713
const 0.213284 0.077436 2.754 0.01059 *
ten_two -0.080202 0.025211 -3.181 0.00377 **
ten_two_unexp -0.064052 0.082909 -0.773 0.44675
ten -0.025197 0.262929 -0.096 0.92439
ten_unexp 0.326064 0.294719 1.106 0.27870
cpi 4.733248 4.865394 0.973 0.33960
cpi_unexp -5.858475 4.514558 -1.298 0.20579
jobs -17.494511 8.187917 -2.137 0.04221 *
jobs_unexp 12.203597 8.913984 1.369 0.18270
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.07183 on 26 degrees of freedom
Multiple R-Squared: 0.5419, Adjusted R-squared: 0.04858
F-statistic: 1.098 on 28 and 26 DF, p-value: 0.4065
Covariance matrix of residuals:
loans capital
loans 0.005529 0.002186
capital 0.002186 0.005159
Correlation matrix of residuals:
loans capital
loans 1.0000 0.4094
capital 0.4094 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 64
Log Likelihood: 214.676
Roots of the characteristic polynomial:
0.2368 0.1599
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.2201426 0.1407137 -1.564 0.124
capital.l1 -0.0567172 0.1118999 -0.507 0.614
const -0.0115470 0.0180060 -0.641 0.524
ten_two -0.0003171 0.0077271 -0.041 0.967
ten_two_unexp -0.0026233 0.0279494 -0.094 0.926
ten -0.1529666 0.1348220 -1.135 0.262
ten_unexp 0.0853828 0.1452033 0.588 0.559
cpi 2.3544689 1.7056710 1.380 0.173
cpi_unexp -0.9899857 1.5472911 -0.640 0.525
jobs -1.2486143 1.8015638 -0.693 0.491
jobs_unexp 1.5063081 3.8393065 0.392 0.696
Residual standard error: 0.04449 on 53 degrees of freedom
Multiple R-Squared: 0.1061, Adjusted R-squared: -0.06256
F-statistic: 0.6291 on 10 and 53 DF, p-value: 0.7823
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.111543 0.184647 -0.604 0.548
capital.l1 0.143212 0.146837 0.975 0.334
const 0.003643 0.023628 0.154 0.878
ten_two -0.011969 0.010140 -1.180 0.243
ten_two_unexp -0.028905 0.036676 -0.788 0.434
ten 0.270527 0.176916 1.529 0.132
ten_unexp -0.315804 0.190539 -1.657 0.103
cpi -0.256105 2.238217 -0.114 0.909
cpi_unexp 1.675028 2.030388 0.825 0.413
jobs 0.934819 2.364050 0.395 0.694
jobs_unexp -5.664393 5.038018 -1.124 0.266
Residual standard error: 0.05839 on 53 degrees of freedom
Multiple R-Squared: 0.147, Adjusted R-squared: -0.01391
F-statistic: 0.9135 on 10 and 53 DF, p-value: 0.5279
Covariance matrix of residuals:
loans capital
loans 0.0019797 0.0008055
capital 0.0008055 0.0034090
Correlation matrix of residuals:
loans capital
loans 1.00 0.31
capital 0.31 1.00
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 61
Log Likelihood: 351.859
Roots of the characteristic polynomial:
0.8363 0.8363 0.7954 0.7605 0.5719 0.5719 0.5136 0.4743
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.083048 0.151289 0.549 0.586
capital.l1 0.186788 0.904198 0.207 0.837
loans.l2 0.136793 0.155965 0.877 0.385
capital.l2 1.193984 0.854068 1.398 0.169
loans.l3 -0.098614 0.158209 -0.623 0.536
capital.l3 0.148327 0.817011 0.182 0.857
loans.l4 0.127557 0.168717 0.756 0.454
capital.l4 -0.014969 0.834965 -0.018 0.986
const -0.004140 0.021902 -0.189 0.851
ten_two -0.010613 0.007555 -1.405 0.167
ten_two_unexp 0.049837 0.031075 1.604 0.116
ten -0.021887 0.121979 -0.179 0.858
ten_unexp -0.095952 0.134105 -0.716 0.478
cpi 0.531166 1.679870 0.316 0.753
cpi_unexp -1.087052 1.533553 -0.709 0.482
jobs -0.369993 1.973600 -0.187 0.852
jobs_unexp 1.598800 3.603309 0.444 0.659
Residual standard error: 0.04052 on 44 degrees of freedom
Multiple R-Squared: 0.2156, Adjusted R-squared: -0.06957
F-statistic: 0.7561 on 16 and 44 DF, p-value: 0.7229
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.007471 0.023891 -0.313 0.7560
capital.l1 0.092918 0.142789 0.651 0.5186
loans.l2 0.047209 0.024630 1.917 0.0618 .
capital.l2 -0.271339 0.134872 -2.012 0.0504 .
loans.l3 -0.058536 0.024984 -2.343 0.0237 *
capital.l3 0.095799 0.129020 0.743 0.4617
loans.l4 0.043115 0.026643 1.618 0.1128
capital.l4 0.259230 0.131856 1.966 0.0556 .
const 0.006556 0.003459 1.896 0.0646 .
ten_two 0.001869 0.001193 1.566 0.1244
ten_two_unexp 0.002509 0.004907 0.511 0.6117
ten -0.036077 0.019263 -1.873 0.0677 .
ten_unexp 0.030146 0.021178 1.423 0.1617
cpi 0.313288 0.265281 1.181 0.2440
cpi_unexp -0.152803 0.242175 -0.631 0.5313
jobs 0.119563 0.311666 0.384 0.7031
jobs_unexp 0.891482 0.569025 1.567 0.1244
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.006399 on 44 degrees of freedom
Multiple R-Squared: 0.468, Adjusted R-squared: 0.2745
F-statistic: 2.419 on 16 and 44 DF, p-value: 0.01055
Covariance matrix of residuals:
loans capital
loans 1.642e-03 5.372e-05
capital 5.372e-05 4.095e-05
Correlation matrix of residuals:
loans capital
loans 1.0000 0.2072
capital 0.2072 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 61
Log Likelihood: 174.144
Roots of the characteristic polynomial:
0.8269 0.8269 0.7327 0.7327 0.7249 0.7134 0.6472 0.6472
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.14130 0.14726 0.960 0.3425
capital.l1 0.16106 0.15674 1.028 0.3098
loans.l2 -0.04250 0.14796 -0.287 0.7753
capital.l2 0.12915 0.14773 0.874 0.3868
loans.l3 0.14695 0.14392 1.021 0.3128
capital.l3 -0.29239 0.14362 -2.036 0.0478 *
loans.l4 0.19588 0.15678 1.249 0.2181
capital.l4 0.03611 0.16696 0.216 0.8298
const 0.01406 0.03260 0.431 0.6683
ten_two -0.01218 0.01439 -0.847 0.4017
ten_two_unexp 0.02922 0.05068 0.577 0.5672
ten 0.51977 0.24187 2.149 0.0372 *
ten_unexp -0.60894 0.25741 -2.366 0.0225 *
cpi -3.79082 3.17821 -1.193 0.2394
cpi_unexp 3.69665 2.66456 1.387 0.1723
jobs 6.29675 3.23845 1.944 0.0583 .
jobs_unexp -13.71100 6.65622 -2.060 0.0454 *
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.07224 on 44 degrees of freedom
Multiple R-Squared: 0.304, Adjusted R-squared: 0.05085
F-statistic: 1.201 on 16 and 44 DF, p-value: 0.305
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.07051 0.13377 -0.527 0.600742
capital.l1 0.50652 0.14238 3.558 0.000911 ***
loans.l2 0.17750 0.13440 1.321 0.193455
capital.l2 -0.03470 0.13420 -0.259 0.797188
loans.l3 -0.20679 0.13073 -1.582 0.120854
capital.l3 0.07580 0.13046 0.581 0.564195
loans.l4 0.52449 0.14241 3.683 0.000628 ***
capital.l4 -0.30922 0.15166 -2.039 0.047501 *
const -0.02765 0.02961 -0.934 0.355470
ten_two 0.01378 0.01307 1.054 0.297520
ten_two_unexp 0.06258 0.04604 1.359 0.180987
ten 0.20483 0.21970 0.932 0.356267
ten_unexp -0.47195 0.23382 -2.018 0.049671 *
cpi -5.10495 2.88699 -1.768 0.083950 .
cpi_unexp 6.25491 2.42041 2.584 0.013155 *
jobs 9.88164 2.94171 3.359 0.001623 **
jobs_unexp -18.25486 6.04631 -3.019 0.004207 **
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.06562 on 44 degrees of freedom
Multiple R-Squared: 0.4429, Adjusted R-squared: 0.2404
F-statistic: 2.187 on 16 and 44 DF, p-value: 0.02066
Covariance matrix of residuals:
loans capital
loans 0.0052190 0.0008002
capital 0.0008002 0.0043064
Correlation matrix of residuals:
loans capital
loans 1.0000 0.1688
capital 0.1688 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 64
Log Likelihood: 6.912
Roots of the characteristic polynomial:
0.4373 0.03259
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.06856 0.11240 -0.610 0.545
capital.l1 0.17622 0.20028 0.880 0.383
const -0.03559 0.14352 -0.248 0.805
ten_two 0.02676 0.05596 0.478 0.634
ten_two_unexp 0.13380 0.20855 0.642 0.524
ten -0.92983 0.96403 -0.965 0.339
ten_unexp 0.72328 1.04342 0.693 0.491
cpi 11.52726 13.85238 0.832 0.409
cpi_unexp -13.39579 13.83247 -0.968 0.337
jobs -3.44476 13.33897 -0.258 0.797
jobs_unexp 29.07239 27.54349 1.056 0.296
Residual standard error: 0.3303 on 53 degrees of freedom
Multiple R-Squared: 0.05682, Adjusted R-squared: -0.1211
F-statistic: 0.3193 on 10 and 53 DF, p-value: 0.9726
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.075257 0.066207 1.137 0.26078
capital.l1 -0.401315 0.117973 -3.402 0.00128 **
const 0.196630 0.084537 2.326 0.02388 *
ten_two -0.024711 0.032965 -0.750 0.45680
ten_two_unexp -0.005175 0.122840 -0.042 0.96655
ten -0.436522 0.567839 -0.769 0.44546
ten_unexp 0.482575 0.614605 0.785 0.43584
cpi -24.639312 8.159434 -3.020 0.00389 **
cpi_unexp -2.944829 8.147707 -0.361 0.71921
jobs -7.026511 7.857023 -0.894 0.37521
jobs_unexp -23.649186 16.223877 -1.458 0.15083
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.1946 on 53 degrees of freedom
Multiple R-Squared: 0.5814, Adjusted R-squared: 0.5024
F-statistic: 7.361 on 10 and 53 DF, p-value: 3.55e-07
Covariance matrix of residuals:
loans capital
loans 0.10909 0.01007
capital 0.01007 0.03785
Correlation matrix of residuals:
loans capital
loans 1.0000 0.1567
capital 0.1567 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 61
Log Likelihood: 181.471
Roots of the characteristic polynomial:
0.7066 0.7066 0.6751 0.6751 0.6721 0.6721 0.2983 0.2983
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.295091 0.142953 2.064 0.0449 *
capital.l1 -0.008682 0.219788 -0.039 0.9687
loans.l2 -0.168277 0.151629 -1.110 0.2731
capital.l2 -0.074784 0.183155 -0.408 0.6850
loans.l3 0.003132 0.158602 0.020 0.9843
capital.l3 -0.034505 0.188577 -0.183 0.8557
loans.l4 0.007904 0.146425 0.054 0.9572
capital.l4 0.291750 0.198364 1.471 0.1485
const 0.081475 0.043265 1.883 0.0663 .
ten_two -0.048041 0.019449 -2.470 0.0175 *
ten_two_unexp -0.009822 0.057586 -0.171 0.8653
ten 0.148567 0.259014 0.574 0.5692
ten_unexp 0.047492 0.290436 0.164 0.8709
cpi 1.829306 3.256074 0.562 0.5771
cpi_unexp -6.198913 3.001822 -2.065 0.0448 *
jobs -3.942308 3.945962 -0.999 0.3232
jobs_unexp 5.625438 8.096294 0.695 0.4908
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.08123 on 44 degrees of freedom
Multiple R-Squared: 0.4489, Adjusted R-squared: 0.2484
F-statistic: 2.24 on 16 and 44 DF, p-value: 0.01772
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.098361 0.090489 -1.087 0.2830
capital.l1 0.120071 0.139126 0.863 0.3928
loans.l2 0.078386 0.095981 0.817 0.4185
capital.l2 -0.019136 0.115937 -0.165 0.8697
loans.l3 -0.153611 0.100395 -1.530 0.1332
capital.l3 -0.087728 0.119369 -0.735 0.4663
loans.l4 -0.038212 0.092687 -0.412 0.6821
capital.l4 -0.253530 0.125565 -2.019 0.0496 *
const 0.035076 0.027387 1.281 0.2070
ten_two -0.003909 0.012311 -0.318 0.7523
ten_two_unexp -0.025168 0.036452 -0.690 0.4936
ten 0.055489 0.163956 0.338 0.7366
ten_unexp -0.013903 0.183846 -0.076 0.9401
cpi -3.064707 2.061098 -1.487 0.1442
cpi_unexp 3.723442 1.900156 1.960 0.0564 .
jobs 3.064634 2.497797 1.227 0.2264
jobs_unexp -1.510447 5.124961 -0.295 0.7696
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.05142 on 44 degrees of freedom
Multiple R-Squared: 0.3065, Adjusted R-squared: 0.05435
F-statistic: 1.216 on 16 and 44 DF, p-value: 0.2946
Covariance matrix of residuals:
loans capital
loans 0.0065979 0.0005206
capital 0.0005206 0.0026437
Correlation matrix of residuals:
loans capital
loans 1.0000 0.1247
capital 0.1247 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 59
Log Likelihood: 190.217
Roots of the characteristic polynomial:
0.9724 0.9724 0.8768 0.8768 0.8393 0.8393 0.6923 0.6923 0.626 0.6114 0.4997 0.4997
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.319739 0.142886 2.238 0.03118 *
capital.l1 0.206352 0.068037 3.033 0.00435 **
loans.l2 -0.156874 0.140095 -1.120 0.26984
capital.l2 0.015025 0.075045 0.200 0.84238
loans.l3 0.043293 0.147592 0.293 0.77087
capital.l3 0.025683 0.073928 0.347 0.73020
loans.l4 0.360371 0.134096 2.687 0.01063 *
capital.l4 -0.032902 0.070565 -0.466 0.64369
loans.l5 0.204763 0.161521 1.268 0.21261
capital.l5 -0.101923 0.062545 -1.630 0.11145
loans.l6 -0.460216 0.147832 -3.113 0.00351 **
capital.l6 0.090298 0.066253 1.363 0.18092
const 0.037808 0.024581 1.538 0.13231
ten_two -0.016475 0.009127 -1.805 0.07899 .
ten_two_unexp 0.033409 0.035413 0.943 0.35143
ten 0.060184 0.144219 0.417 0.67880
ten_unexp -0.060673 0.156755 -0.387 0.70087
cpi 1.886153 2.200952 0.857 0.39683
cpi_unexp -6.949863 2.037228 -3.411 0.00155 **
jobs -1.126694 2.359011 -0.478 0.63566
jobs_unexp 11.235911 4.792735 2.344 0.02439 *
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.04439 on 38 degrees of freedom
Multiple R-Squared: 0.6917, Adjusted R-squared: 0.5294
F-statistic: 4.262 on 20 and 38 DF, p-value: 6.074e-05
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.328421 0.263085 1.248 0.21954
capital.l1 -0.109884 0.125271 -0.877 0.38590
loans.l2 -0.067171 0.257946 -0.260 0.79596
capital.l2 -0.070697 0.138174 -0.512 0.61186
loans.l3 -0.631962 0.271750 -2.326 0.02548 *
capital.l3 -0.017104 0.136118 -0.126 0.90067
loans.l4 -0.218289 0.246901 -0.884 0.38219
capital.l4 0.063238 0.129927 0.487 0.62925
loans.l5 -0.348680 0.297396 -1.172 0.24832
capital.l5 0.105750 0.115159 0.918 0.36425
loans.l6 -0.420775 0.272192 -1.546 0.13042
capital.l6 0.133519 0.121986 1.095 0.28061
const 0.205860 0.045259 4.549 5.38e-05 ***
ten_two -0.031691 0.016805 -1.886 0.06698 .
ten_two_unexp 0.091210 0.065203 1.399 0.16997
ten 0.008345 0.265539 0.031 0.97510
ten_unexp -0.096529 0.288620 -0.334 0.73988
cpi -16.895087 4.052444 -4.169 0.00017 ***
cpi_unexp 11.868493 3.750992 3.164 0.00306 **
jobs -3.345936 4.343465 -0.770 0.44586
jobs_unexp -7.489932 8.824495 -0.849 0.40133
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.08173 on 38 degrees of freedom
Multiple R-Squared: 0.6711, Adjusted R-squared: 0.498
F-statistic: 3.876 on 20 and 38 DF, p-value: 0.0001616
Covariance matrix of residuals:
loans capital
loans 0.0019706 0.0002784
capital 0.0002784 0.0066805
Correlation matrix of residuals:
loans capital
loans 1.00000 0.07672
capital 0.07672 1.00000Warning in log(det(Sigma)): NaNs produced[1] "error"
[1] "error"Warning in xy.coords(x, y, xlabel, ylabel, log): NAs introduced by coercionWarning in min(x): no non-missing arguments to min; returning InfWarning in max(x): no non-missing arguments to max; returning -Inf
[1] "error"
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 56
Log Likelihood: 302.612
Roots of the characteristic polynomial:
0.9496 0.9496 0.9439 0.9439 0.8908 0.8908 0.8784 0.8784 0.8709 0.8636 0.8636 0.8455 0.8455 0.8079 0.8079 0.4421 0.4421 0.3853
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.045418 0.192843 0.236 0.8155
capital.l1 0.190616 0.276539 0.689 0.4961
loans.l2 0.139068 0.171083 0.813 0.4229
capital.l2 -0.013187 0.227469 -0.058 0.9542
loans.l3 0.219961 0.168179 1.308 0.2012
capital.l3 -0.061250 0.259214 -0.236 0.8149
loans.l4 0.058235 0.175037 0.333 0.7418
capital.l4 0.309929 0.257254 1.205 0.2380
loans.l5 0.126488 0.175029 0.723 0.4757
capital.l5 0.243240 0.238948 1.018 0.3171
loans.l6 0.146836 0.171042 0.858 0.3977
capital.l6 0.229906 0.249585 0.921 0.3646
loans.l7 0.359383 0.193636 1.856 0.0736 .
capital.l7 0.029822 0.122988 0.242 0.8101
loans.l8 -0.218018 0.183854 -1.186 0.2453
capital.l8 0.273305 0.125767 2.173 0.0381 *
loans.l9 -0.343734 0.176281 -1.950 0.0609 .
capital.l9 0.077480 0.122827 0.631 0.5331
const 0.001879 0.018087 0.104 0.9180
ten_two -0.002060 0.007946 -0.259 0.7973
ten_two_unexp 0.010903 0.023177 0.470 0.6416
ten 0.085958 0.100492 0.855 0.3994
ten_unexp -0.077899 0.100743 -0.773 0.4456
cpi 0.696223 1.352279 0.515 0.6106
cpi_unexp -1.495634 1.201854 -1.244 0.2233
jobs -1.606780 1.580577 -1.017 0.3178
jobs_unexp -1.327957 3.570771 -0.372 0.7127
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.02837 on 29 degrees of freedom
Multiple R-Squared: 0.5638, Adjusted R-squared: 0.1728
F-statistic: 1.442 on 26 and 29 DF, p-value: 0.1693
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.2428654 0.1236272 -1.964 0.05912 .
capital.l1 -0.0785009 0.1772824 -0.443 0.66119
loans.l2 0.0779545 0.1096772 0.711 0.48291
capital.l2 -0.4177630 0.1458252 -2.865 0.00768 **
loans.l3 -0.0702728 0.1078156 -0.652 0.51967
capital.l3 -0.1291657 0.1661758 -0.777 0.44329
loans.l4 0.1334345 0.1122122 1.189 0.24404
capital.l4 -0.3233849 0.1649193 -1.961 0.05956 .
loans.l5 -0.0488307 0.1122066 -0.435 0.66665
capital.l5 -0.2899785 0.1531837 -1.893 0.06837 .
loans.l6 -0.0237287 0.1096510 -0.216 0.83019
capital.l6 -0.1377695 0.1600033 -0.861 0.39628
loans.l7 0.2667417 0.1241355 2.149 0.04013 *
capital.l7 -0.1412263 0.0788447 -1.791 0.08371 .
loans.l8 0.1521127 0.1178647 1.291 0.20705
capital.l8 0.1287058 0.0806260 1.596 0.12126
loans.l9 -0.2476253 0.1130098 -2.191 0.03662 *
capital.l9 0.0231611 0.0787415 0.294 0.77075
const 0.0152943 0.0115950 1.319 0.19748
ten_two -0.0040638 0.0050942 -0.798 0.43151
ten_two_unexp -0.0006274 0.0148580 -0.042 0.96661
ten -0.0140183 0.0644228 -0.218 0.82927
ten_unexp -0.0347869 0.0645842 -0.539 0.59425
cpi -1.5573211 0.8669139 -1.796 0.08286 .
cpi_unexp 1.0648901 0.7704800 1.382 0.17749
jobs 0.8228147 1.0132705 0.812 0.42339
jobs_unexp -0.2696030 2.2891365 -0.118 0.90706
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.01819 on 29 degrees of freedom
Multiple R-Squared: 0.6027, Adjusted R-squared: 0.2465
F-statistic: 1.692 on 26 and 29 DF, p-value: 0.08532
Covariance matrix of residuals:
loans capital
loans 8.048e-04 8.601e-05
capital 8.601e-05 3.308e-04
Correlation matrix of residuals:
loans capital
loans 1.0000 0.1667
capital 0.1667 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 60
Log Likelihood: 248.48
Roots of the characteristic polynomial:
0.8625 0.8625 0.8543 0.8543 0.8073 0.8073 0.7802 0.7802 0.7151 0.7151
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.239174 0.140800 -1.699 0.09696 .
capital.l1 0.514589 0.242481 2.122 0.03991 *
loans.l2 -0.355862 0.145706 -2.442 0.01899 *
capital.l2 0.047799 0.247394 0.193 0.84775
loans.l3 -0.007422 0.148400 -0.050 0.96035
capital.l3 0.132902 0.240715 0.552 0.58387
loans.l4 -0.323517 0.135545 -2.387 0.02169 *
capital.l4 0.196026 0.238811 0.821 0.41648
loans.l5 -0.156213 0.129996 -1.202 0.23638
capital.l5 0.673104 0.242771 2.773 0.00833 **
const -0.015740 0.025929 -0.607 0.54717
ten_two 0.019676 0.008970 2.193 0.03401 *
ten_two_unexp 0.009592 0.031775 0.302 0.76428
ten -0.033373 0.158429 -0.211 0.83421
ten_unexp -0.029830 0.171561 -0.174 0.86282
cpi -1.658213 1.954166 -0.849 0.40106
cpi_unexp 0.670745 1.821791 0.368 0.71463
jobs 1.268209 2.123063 0.597 0.55356
jobs_unexp 0.860377 4.444346 0.194 0.84745
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.04727 on 41 degrees of freedom
Multiple R-Squared: 0.4215, Adjusted R-squared: 0.1676
F-statistic: 1.66 on 18 and 41 DF, p-value: 0.08943
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.027724 0.087281 -0.318 0.752368
capital.l1 -0.146427 0.150312 -0.974 0.335691
loans.l2 -0.053947 0.090322 -0.597 0.553612
capital.l2 -0.226722 0.153357 -1.478 0.146943
loans.l3 -0.126067 0.091992 -1.370 0.178013
capital.l3 -0.336397 0.149217 -2.254 0.029577 *
loans.l4 -0.017870 0.084023 -0.213 0.832629
capital.l4 -0.089206 0.148037 -0.603 0.550098
loans.l5 -0.176009 0.080583 -2.184 0.034722 *
capital.l5 0.053144 0.150491 0.353 0.725795
const 0.057359 0.016073 3.569 0.000931 ***
ten_two 0.001320 0.005561 0.237 0.813548
ten_two_unexp -0.013801 0.019697 -0.701 0.487483
ten 0.085080 0.098209 0.866 0.391358
ten_unexp -0.029766 0.106349 -0.280 0.780967
cpi -0.808912 1.211367 -0.668 0.508023
cpi_unexp 0.865091 1.129310 0.766 0.448043
jobs 0.662986 1.316065 0.504 0.617123
jobs_unexp 2.078834 2.755005 0.755 0.454822
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.0293 on 41 degrees of freedom
Multiple R-Squared: 0.3218, Adjusted R-squared: 0.02408
F-statistic: 1.081 on 18 and 41 DF, p-value: 0.4029
Covariance matrix of residuals:
loans capital
loans 0.0022346 -0.0002498
capital -0.0002498 0.0008587
Correlation matrix of residuals:
loans capital
loans 1.0000 -0.1803
capital -0.1803 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 64
Log Likelihood: 169.62
Roots of the characteristic polynomial:
0.1782 0.00516
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -1.056e-02 1.310e-01 -0.081 0.9360
capital.l1 1.880e-02 1.896e-01 0.099 0.9214
const -1.040e-02 3.297e-02 -0.315 0.7537
ten_two 4.597e-04 1.388e-02 0.033 0.9737
ten_two_unexp 2.332e-02 5.330e-02 0.438 0.6635
ten 3.075e-01 2.658e-01 1.157 0.2526
ten_unexp -7.234e-01 2.810e-01 -2.575 0.0129 *
cpi 1.203e+00 3.167e+00 0.380 0.7055
cpi_unexp 2.376e+00 2.905e+00 0.818 0.4171
jobs 2.228e+00 3.401e+00 0.655 0.5153
jobs_unexp -1.472e+01 7.109e+00 -2.070 0.0433 *
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.08303 on 53 degrees of freedom
Multiple R-Squared: 0.2993, Adjusted R-squared: 0.1671
F-statistic: 2.264 on 10 and 53 DF, p-value: 0.02736
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.05421 0.09508 -0.570 0.571
capital.l1 0.18362 0.13768 1.334 0.188
const 0.02571 0.02394 1.074 0.288
ten_two -0.00356 0.01008 -0.353 0.725
ten_two_unexp 0.01098 0.03870 0.284 0.778
ten -0.02862 0.19299 -0.148 0.883
ten_unexp -0.02322 0.20398 -0.114 0.910
cpi 0.63982 2.29923 0.278 0.782
cpi_unexp 0.59095 2.10938 0.280 0.780
jobs -1.96019 2.46914 -0.794 0.431
jobs_unexp 5.28648 5.16091 1.024 0.310
Residual standard error: 0.06028 on 53 degrees of freedom
Multiple R-Squared: 0.06935, Adjusted R-squared: -0.1062
F-statistic: 0.3949 on 10 and 53 DF, p-value: 0.9432
Covariance matrix of residuals:
loans capital
loans 0.0068943 -0.0003419
capital -0.0003419 0.0036339
Correlation matrix of residuals:
loans capital
loans 1.00000 -0.06831
capital -0.06831 1.00000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 55
Log Likelihood: 269.746
Roots of the characteristic polynomial:
1.059 1.027 1.027 0.9763 0.9763 0.9725 0.9725 0.9426 0.9426 0.9375 0.9375 0.9311 0.9311 0.9057 0.9057 0.8701 0.8701 0.8463 0.8463 0.06382
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.3106685 0.1857768 1.672 0.1065
capital.l1 -0.3043173 0.1650649 -1.844 0.0767 .
loans.l2 0.1139357 0.1802851 0.632 0.5329
capital.l2 -0.1434540 0.1616088 -0.888 0.3829
loans.l3 0.1919630 0.1659933 1.156 0.2580
capital.l3 0.3224597 0.2371399 1.360 0.1856
loans.l4 -0.1464398 0.1729295 -0.847 0.4048
capital.l4 -0.2999722 0.2504795 -1.198 0.2419
loans.l5 -0.2386603 0.1859759 -1.283 0.2107
capital.l5 0.4999131 0.2191884 2.281 0.0310 *
loans.l6 -0.1152891 0.1824356 -0.632 0.5329
capital.l6 -0.2349362 0.2497898 -0.941 0.3556
loans.l7 0.2393313 0.2174902 1.100 0.2812
capital.l7 -0.1154188 0.2337928 -0.494 0.6257
loans.l8 0.4000756 0.2029214 1.972 0.0594 .
capital.l8 -0.0141777 0.3244421 -0.044 0.9655
loans.l9 -0.3100584 0.1939899 -1.598 0.1221
capital.l9 0.5020761 0.2593152 1.936 0.0638 .
loans.l10 -0.1948018 0.1934544 -1.007 0.3232
capital.l10 -0.0015964 0.2778015 -0.006 0.9955
const 0.0118004 0.0239561 0.493 0.6264
ten_two -0.0004164 0.0084032 -0.050 0.9609
ten_two_unexp -0.0235151 0.0245558 -0.958 0.3471
ten 0.0155953 0.1080661 0.144 0.8864
ten_unexp 0.0422360 0.1178486 0.358 0.7229
cpi -0.9197234 1.5542099 -0.592 0.5591
cpi_unexp -0.5773140 1.3610279 -0.424 0.6749
jobs 1.3322620 1.8607862 0.716 0.4804
jobs_unexp -1.6120865 3.0137817 -0.535 0.5973
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.02953 on 26 degrees of freedom
Multiple R-Squared: 0.626, Adjusted R-squared: 0.2233
F-statistic: 1.554 on 28 and 26 DF, p-value: 0.1308
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.215979 0.195655 1.104 0.2798
capital.l1 0.067667 0.173842 0.389 0.7003
loans.l2 0.163401 0.189871 0.861 0.3973
capital.l2 0.071170 0.170202 0.418 0.6793
loans.l3 0.024201 0.174820 0.138 0.8910
capital.l3 0.161545 0.249749 0.647 0.5234
loans.l4 0.318326 0.182125 1.748 0.0923 .
capital.l4 0.245269 0.263798 0.930 0.3610
loans.l5 0.033782 0.195865 0.172 0.8644
capital.l5 -0.309195 0.230843 -1.339 0.1920
loans.l6 0.319757 0.192136 1.664 0.1081
capital.l6 0.414799 0.263072 1.577 0.1269
loans.l7 -0.112607 0.229055 -0.492 0.6271
capital.l7 0.089500 0.246224 0.363 0.7192
loans.l8 -0.322711 0.213711 -1.510 0.1431
capital.l8 0.062387 0.341694 0.183 0.8565
loans.l9 0.156953 0.204305 0.768 0.4493
capital.l9 -0.462906 0.273104 -1.695 0.1020
loans.l10 -0.473458 0.203741 -2.324 0.0282 *
capital.l10 0.095521 0.292573 0.326 0.7467
const -0.005295 0.025230 -0.210 0.8354
ten_two 0.005167 0.008850 0.584 0.5644
ten_two_unexp -0.011635 0.025862 -0.450 0.6565
ten -0.049257 0.113812 -0.433 0.6687
ten_unexp -0.002217 0.124115 -0.018 0.9859
cpi 1.279232 1.636851 0.782 0.4416
cpi_unexp -0.466462 1.433397 -0.325 0.7475
jobs -2.252955 1.959729 -1.150 0.2608
jobs_unexp 4.706555 3.174033 1.483 0.1501
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.0311 on 26 degrees of freedom
Multiple R-Squared: 0.6338, Adjusted R-squared: 0.2394
F-statistic: 1.607 on 28 and 26 DF, p-value: 0.1138
Covariance matrix of residuals:
loans capital
loans 8.720e-04 1.752e-05
capital 1.752e-05 9.672e-04
Correlation matrix of residuals:
loans capital
loans 1.00000 0.01908
capital 0.01908 1.00000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 56
Log Likelihood: 301.998
Roots of the characteristic polynomial:
0.9274 0.9274 0.9254 0.9225 0.9225 0.913 0.8889 0.8889 0.882 0.882 0.8754 0.8754 0.8686 0.8686 0.7374 0.7374 0.4688 0.03009
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.2509273 0.1995738 1.257 0.2187
capital.l1 -0.1177030 0.1379710 -0.853 0.4006
loans.l2 -0.0769208 0.2007222 -0.383 0.7044
capital.l2 0.2803568 0.1397686 2.006 0.0543 .
loans.l3 -0.0762604 0.2211825 -0.345 0.7327
capital.l3 0.0729963 0.1439654 0.507 0.6160
loans.l4 -0.0404406 0.2500777 -0.162 0.8727
capital.l4 0.1806705 0.1326842 1.362 0.1838
loans.l5 0.0253353 0.2038560 0.124 0.9020
capital.l5 0.1592293 0.1348263 1.181 0.2472
loans.l6 0.1159922 0.2088016 0.556 0.5828
capital.l6 0.2291429 0.1490246 1.538 0.1350
loans.l7 -0.0338560 0.2450530 -0.138 0.8911
capital.l7 -0.0552852 0.1468182 -0.377 0.7092
loans.l8 0.2210204 0.1642053 1.346 0.1887
capital.l8 0.1100919 0.1362936 0.808 0.4258
loans.l9 -0.2950150 0.1672567 -1.764 0.0883 .
capital.l9 -0.0553750 0.1406182 -0.394 0.6966
const -0.0168429 0.0140243 -1.201 0.2395
ten_two 0.0007015 0.0049370 0.142 0.8880
ten_two_unexp -0.0005507 0.0179531 -0.031 0.9757
ten 0.0409226 0.0762640 0.537 0.5956
ten_unexp -0.0604154 0.0908911 -0.665 0.5115
cpi 0.0196198 0.9394755 0.021 0.9835
cpi_unexp -0.0941109 0.8669056 -0.109 0.9143
jobs 1.2014605 1.0125251 1.187 0.2450
jobs_unexp -1.6572152 2.2245589 -0.745 0.4623
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.02019 on 29 degrees of freedom
Multiple R-Squared: 0.79, Adjusted R-squared: 0.6017
F-statistic: 4.196 on 26 and 29 DF, p-value: 0.0001427
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.439141 0.275782 1.592 0.1221
capital.l1 -0.128691 0.190656 -0.675 0.5050
loans.l2 -0.281105 0.277369 -1.013 0.3192
capital.l2 0.069676 0.193140 0.361 0.7209
loans.l3 -0.096811 0.305642 -0.317 0.7537
capital.l3 -0.016516 0.198939 -0.083 0.9344
loans.l4 0.240854 0.345571 0.697 0.4914
capital.l4 -0.043065 0.183350 -0.235 0.8160
loans.l5 -0.026303 0.281699 -0.093 0.9262
capital.l5 0.018935 0.186310 0.102 0.9197
loans.l6 0.198432 0.288534 0.688 0.4971
capital.l6 -0.111828 0.205930 -0.543 0.5913
loans.l7 0.169211 0.338628 0.500 0.6211
capital.l7 0.348727 0.202882 1.719 0.0963 .
loans.l8 -0.109471 0.226908 -0.482 0.6331
capital.l8 0.227807 0.188338 1.210 0.2362
loans.l9 -0.212994 0.231125 -0.922 0.3644
capital.l9 -0.034265 0.194314 -0.176 0.8613
const -0.002221 0.019380 -0.115 0.9095
ten_two 0.001029 0.006822 0.151 0.8812
ten_two_unexp 0.001516 0.024809 0.061 0.9517
ten -0.044688 0.105386 -0.424 0.6747
ten_unexp 0.022702 0.125598 0.181 0.8578
cpi 1.120840 1.298219 0.863 0.3950
cpi_unexp -0.037728 1.197938 -0.031 0.9751
jobs 0.278909 1.399163 0.199 0.8434
jobs_unexp -1.610152 3.074018 -0.524 0.6044
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.02791 on 29 degrees of freedom
Multiple R-Squared: 0.6771, Adjusted R-squared: 0.3875
F-statistic: 2.338 on 26 and 29 DF, p-value: 0.01406
Covariance matrix of residuals:
loans capital
loans 0.0004078 0.0002303
capital 0.0002303 0.0007787
Correlation matrix of residuals:
loans capital
loans 1.0000 0.4087
capital 0.4087 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 64
Log Likelihood: 276.669
Roots of the characteristic polynomial:
0.3807 0.1892
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.352357 0.140716 2.504 0.0154 *
capital.l1 -0.128164 0.190375 -0.673 0.5037
const 0.016462 0.016560 0.994 0.3247
ten_two -0.008105 0.007059 -1.148 0.2560
ten_two_unexp -0.036710 0.026399 -1.391 0.1702
ten 0.094833 0.111364 0.852 0.3983
ten_unexp -0.023174 0.120473 -0.192 0.8482
cpi 0.312057 1.517180 0.206 0.8378
cpi_unexp -1.082799 1.322746 -0.819 0.4167
jobs 2.709971 1.736187 1.561 0.1245
jobs_unexp -1.938531 3.295389 -0.588 0.5589
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.03797 on 53 degrees of freedom
Multiple R-Squared: 0.3473, Adjusted R-squared: 0.2242
F-statistic: 2.82 on 10 and 53 DF, p-value: 0.007014
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.119745 0.091556 -1.308 0.19656
capital.l1 -0.160819 0.123867 -1.298 0.19980
const 0.016274 0.010774 1.510 0.13687
ten_two -0.007978 0.004593 -1.737 0.08819 .
ten_two_unexp 0.027616 0.017177 1.608 0.11383
ten -0.115475 0.072459 -1.594 0.11696
ten_unexp 0.094454 0.078385 1.205 0.23356
cpi 0.577627 0.987149 0.585 0.56093
cpi_unexp -1.573846 0.860641 -1.829 0.07308 .
jobs 3.239300 1.129645 2.868 0.00592 **
jobs_unexp -0.149993 2.144136 -0.070 0.94449
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.0247 on 53 degrees of freedom
Multiple R-Squared: 0.3699, Adjusted R-squared: 0.2511
F-statistic: 3.112 on 10 and 53 DF, p-value: 0.003446
Covariance matrix of residuals:
loans capital
loans 1.441e-03 -2.522e-05
capital -2.522e-05 6.102e-04
Correlation matrix of residuals:
loans capital
loans 1.00000 -0.02689
capital -0.02689 1.00000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 35
Log Likelihood: 145.807
Roots of the characteristic polynomial:
1.088 1.008 1.008 0.9527 0.9527 0.9343 0.9343 0.9072 0.9072 0.907 0.907 0.901 0.901 0.8829 0.8829 0.808 0.7897 0.7897 0.647 0.1049
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.04643 0.29056 -0.160 0.8783
capital.l1 0.22322 0.13929 1.603 0.1602
loans.l2 0.68762 0.28842 2.384 0.0545 .
capital.l2 -0.20008 0.20829 -0.961 0.3738
loans.l3 -0.30959 0.31799 -0.974 0.3679
capital.l3 0.10314 0.16405 0.629 0.5527
loans.l4 0.26913 0.19729 1.364 0.2215
capital.l4 -0.12796 0.12256 -1.044 0.3367
loans.l5 0.20230 0.28416 0.712 0.5032
capital.l5 0.06558 0.13810 0.475 0.6517
loans.l6 0.09511 0.19528 0.487 0.6435
capital.l6 -0.09955 0.11153 -0.893 0.4065
loans.l7 -0.15940 0.17098 -0.932 0.3872
capital.l7 0.11613 0.10700 1.085 0.3195
loans.l8 0.38155 0.26751 1.426 0.2037
capital.l8 -0.10716 0.13958 -0.768 0.4718
loans.l9 0.42161 0.17721 2.379 0.0548 .
capital.l9 -0.10928 0.08910 -1.226 0.2660
loans.l10 0.05402 0.08546 0.632 0.5506
capital.l10 0.05648 0.11604 0.487 0.6437
const -0.07906 0.06606 -1.197 0.2766
ten_two -0.05487 0.03586 -1.530 0.1768
ten_two_unexp -0.11235 0.16765 -0.670 0.5277
ten 0.31256 0.39045 0.801 0.4539
ten_unexp -0.49122 0.53853 -0.912 0.3969
cpi 7.23677 4.13686 1.749 0.1308
cpi_unexp 0.50623 6.06893 0.083 0.9362
jobs 20.46999 11.84671 1.728 0.1347
jobs_unexp -25.97822 10.54580 -2.463 0.0489 *
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.04432 on 6 degrees of freedom
Multiple R-Squared: 0.9135, Adjusted R-squared: 0.51
F-statistic: 2.264 on 28 and 6 DF, p-value: 0.1555
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.66971 0.78405 -0.854 0.4258
capital.l1 -0.06581 0.37587 -0.175 0.8668
loans.l2 1.44095 0.77828 1.851 0.1136
capital.l2 -0.48308 0.56206 -0.859 0.4231
loans.l3 -0.23723 0.85809 -0.276 0.7915
capital.l3 -0.07975 0.44268 -0.180 0.8630
loans.l4 0.19393 0.53239 0.364 0.7282
capital.l4 -0.38183 0.33072 -1.155 0.2922
loans.l5 -0.17040 0.76679 -0.222 0.8315
capital.l5 -0.12294 0.37266 -0.330 0.7527
loans.l6 0.56080 0.52695 1.064 0.3282
capital.l6 -0.32634 0.30096 -1.084 0.3199
loans.l7 0.04936 0.46138 0.107 0.9183
capital.l7 0.05542 0.28875 0.192 0.8541
loans.l8 0.46677 0.72186 0.647 0.5418
capital.l8 0.02338 0.37665 0.062 0.9525
loans.l9 0.59365 0.47819 1.241 0.2608
capital.l9 -0.24319 0.24044 -1.011 0.3508
loans.l10 -0.29773 0.23060 -1.291 0.2442
capital.l10 -0.07369 0.31313 -0.235 0.8218
const -0.19933 0.17827 -1.118 0.3063
ten_two -0.01540 0.09676 -0.159 0.8788
ten_two_unexp 0.11112 0.45240 0.246 0.8142
ten 0.23909 1.05362 0.227 0.8280
ten_unexp -0.72189 1.45320 -0.497 0.6370
cpi 8.37017 11.16312 0.750 0.4817
cpi_unexp -14.05554 16.37673 -0.858 0.4237
jobs 33.28860 31.96781 1.041 0.3379
jobs_unexp -58.67032 28.45735 -2.062 0.0849 .
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.1196 on 6 degrees of freedom
Multiple R-Squared: 0.7944, Adjusted R-squared: -0.1651
F-statistic: 0.8279 on 28 and 6 DF, p-value: 0.6685
Covariance matrix of residuals:
loans capital
loans 0.0019645 -0.0001481
capital -0.0001481 0.0143050
Correlation matrix of residuals:
loans capital
loans 1.00000 -0.02794
capital -0.02794 1.00000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 64
Log Likelihood: 128.567
Roots of the characteristic polynomial:
0.2599 0.0278
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.223738 0.171988 1.301 0.1989
capital.l1 -0.072963 0.121429 -0.601 0.5505
const 0.021513 0.038051 0.565 0.5742
ten_two 0.005027 0.016036 0.313 0.7551
ten_two_unexp -0.109542 0.059698 -1.835 0.0721 .
ten -0.105921 0.291013 -0.364 0.7173
ten_unexp 0.415251 0.313482 1.325 0.1910
cpi 2.618294 3.645131 0.718 0.4757
cpi_unexp -4.329733 3.331213 -1.300 0.1993
jobs 0.308236 3.869783 0.080 0.9368
jobs_unexp 6.902466 8.370962 0.825 0.4133
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.09551 on 53 degrees of freedom
Multiple R-Squared: 0.1656, Adjusted R-squared: 0.008144
F-statistic: 1.052 on 10 and 53 DF, p-value: 0.415
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.09724 0.23240 -0.418 0.6773
capital.l1 0.06401 0.16408 0.390 0.6980
const -0.04870 0.05142 -0.947 0.3479
ten_two 0.02486 0.02167 1.147 0.2565
ten_two_unexp -0.16585 0.08067 -2.056 0.0447 *
ten -0.24502 0.39324 -0.623 0.5359
ten_unexp 0.36932 0.42360 0.872 0.3872
cpi 3.18795 4.92554 0.647 0.5203
cpi_unexp -0.69316 4.50135 -0.154 0.8782
jobs 9.97109 5.22910 1.907 0.0620 .
jobs_unexp -21.14525 11.31139 -1.869 0.0671 .
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.1291 on 53 degrees of freedom
Multiple R-Squared: 0.1828, Adjusted R-squared: 0.02862
F-statistic: 1.186 on 10 and 53 DF, p-value: 0.3214
Covariance matrix of residuals:
loans capital
loans 0.009121 0.007872
capital 0.007872 0.016655
Correlation matrix of residuals:
loans capital
loans 1.0000 0.6387
capital 0.6387 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 56
Log Likelihood: 207.765
Roots of the characteristic polynomial:
0.9541 0.9356 0.9356 0.9274 0.9274 0.9149 0.9149 0.8866 0.8866 0.8517 0.8517 0.7993 0.7993 0.792 0.792 0.7858 0.7858 0.4494
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.90735 0.52102 -1.741 0.092197 .
capital.l1 0.94846 0.75233 1.261 0.217470
loans.l2 -1.33634 0.55704 -2.399 0.023091 *
capital.l2 1.80178 0.75773 2.378 0.024222 *
loans.l3 -0.89924 0.49514 -1.816 0.079703 .
capital.l3 1.44138 0.72884 1.978 0.057542 .
loans.l4 -0.03312 0.45883 -0.072 0.942954
capital.l4 0.91182 0.66114 1.379 0.178390
loans.l5 0.06863 0.46221 0.148 0.882987
capital.l5 0.53824 0.62317 0.864 0.394833
loans.l6 -1.27400 0.45537 -2.798 0.009048 **
capital.l6 2.10275 0.68955 3.049 0.004859 **
loans.l7 -0.82302 0.44028 -1.869 0.071710 .
capital.l7 1.25193 0.56623 2.211 0.035076 *
loans.l8 -0.14477 0.33618 -0.431 0.669909
capital.l8 0.79919 0.40179 1.989 0.056200 .
loans.l9 -0.93207 0.34806 -2.678 0.012070 *
capital.l9 1.58463 0.41248 3.842 0.000614 ***
const -0.09991 0.05867 -1.703 0.099292 .
ten_two 0.02822 0.02460 1.147 0.260771
ten_two_unexp 0.08393 0.09517 0.882 0.385102
ten -0.74263 0.49412 -1.503 0.143672
ten_unexp 0.25589 0.49281 0.519 0.607535
cpi 8.82081 5.16872 1.707 0.098589 .
cpi_unexp -4.52395 4.26880 -1.060 0.297996
jobs -20.75479 9.88102 -2.100 0.044497 *
jobs_unexp 17.36237 13.62571 1.274 0.212697
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.1139 on 29 degrees of freedom
Multiple R-Squared: 0.5198, Adjusted R-squared: 0.08918
F-statistic: 1.207 on 26 and 29 DF, p-value: 0.31
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.164553 0.373091 -0.441 0.66244
capital.l1 0.008057 0.538734 0.015 0.98817
loans.l2 -0.809574 0.398888 -2.030 0.05166 .
capital.l2 0.657189 0.542595 1.211 0.23560
loans.l3 -0.367369 0.354563 -1.036 0.30871
capital.l3 0.312557 0.521910 0.599 0.55391
loans.l4 0.102435 0.328558 0.312 0.75745
capital.l4 0.214679 0.473433 0.453 0.65360
loans.l5 0.061668 0.330980 0.186 0.85349
capital.l5 0.132681 0.446239 0.297 0.76833
loans.l6 -0.848780 0.326084 -2.603 0.01441 *
capital.l6 1.237682 0.493774 2.507 0.01805 *
loans.l7 -0.496429 0.315278 -1.575 0.12620
capital.l7 0.696843 0.405466 1.719 0.09634 .
loans.l8 -0.103222 0.240730 -0.429 0.67125
capital.l8 0.529289 0.287716 1.840 0.07608 .
loans.l9 -0.608424 0.249240 -2.441 0.02098 *
capital.l9 1.075301 0.295374 3.640 0.00105 **
const -0.061043 0.042016 -1.453 0.15700
ten_two 0.036453 0.017618 2.069 0.04756 *
ten_two_unexp 0.046770 0.068153 0.686 0.49801
ten -0.505250 0.353835 -1.428 0.16399
ten_unexp 0.136808 0.352897 0.388 0.70109
cpi 3.625569 3.701238 0.980 0.33541
cpi_unexp -1.541628 3.056819 -0.504 0.61784
jobs -3.205106 7.075645 -0.453 0.65394
jobs_unexp 6.818175 9.757164 0.699 0.49025
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.08159 on 29 degrees of freedom
Multiple R-Squared: 0.5215, Adjusted R-squared: 0.09242
F-statistic: 1.215 on 26 and 29 DF, p-value: 0.3038
Covariance matrix of residuals:
loans capital
loans 0.012982 0.008875
capital 0.008875 0.006657
Correlation matrix of residuals:
loans capital
loans 1.0000 0.9547
capital 0.9547 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 64
Log Likelihood: 180.694
Roots of the characteristic polynomial:
0.04986 0.04986
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.05224 0.14651 0.357 0.723
capital.l1 0.07242 0.52120 0.139 0.890
const -0.02205 0.05081 -0.434 0.666
ten_two 0.02230 0.02155 1.035 0.305
ten_two_unexp -0.12331 0.08188 -1.506 0.138
ten -0.24409 0.38162 -0.640 0.525
ten_unexp 0.63610 0.41647 1.527 0.133
cpi 3.19067 4.81225 0.663 0.510
cpi_unexp -5.20610 4.39783 -1.184 0.242
jobs 0.28083 5.31860 0.053 0.958
jobs_unexp 3.63552 10.88010 0.334 0.740
Residual standard error: 0.1268 on 53 degrees of freedom
Multiple R-Squared: 0.1227, Adjusted R-squared: -0.04278
F-statistic: 0.7415 on 10 and 53 DF, p-value: 0.6824
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.026296 0.041287 -0.637 0.527
capital.l1 0.011145 0.146876 0.076 0.940
const 0.011862 0.014318 0.828 0.411
ten_two 0.003679 0.006072 0.606 0.547
ten_two_unexp 0.020570 0.023073 0.891 0.377
ten -0.172654 0.107543 -1.605 0.114
ten_unexp 0.097182 0.117362 0.828 0.411
cpi 0.437237 1.356117 0.322 0.748
cpi_unexp -0.294039 1.239333 -0.237 0.813
jobs -1.348589 1.498811 -0.900 0.372
jobs_unexp -1.160867 3.066070 -0.379 0.706
Residual standard error: 0.03572 on 53 degrees of freedom
Multiple R-Squared: 0.1785, Adjusted R-squared: 0.02345
F-statistic: 1.151 on 10 and 53 DF, p-value: 0.3438
Covariance matrix of residuals:
loans capital
loans 0.01607 -0.001690
capital -0.00169 0.001276
Correlation matrix of residuals:
loans capital
loans 1.0000 -0.3733
capital -0.3733 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 56
Log Likelihood: 204.589
Roots of the characteristic polynomial:
0.9531 0.9531 0.9173 0.9173 0.9173 0.917 0.917 0.8763 0.8763 0.8736 0.8736 0.8653 0.8653 0.8634 0.8634 0.854 0.854 0.122
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.068527 0.170133 -0.403 0.69006
capital.l1 0.175668 0.081123 2.165 0.03872 *
loans.l2 -0.138790 0.149151 -0.931 0.35978
capital.l2 0.006375 0.085676 0.074 0.94119
loans.l3 -0.356079 0.124578 -2.858 0.00781 **
capital.l3 0.055928 0.073811 0.758 0.45473
loans.l4 0.108314 0.130789 0.828 0.41434
capital.l4 -0.066707 0.075798 -0.880 0.38606
loans.l5 0.062942 0.118444 0.531 0.59918
capital.l5 -0.154366 0.068571 -2.251 0.03212 *
loans.l6 0.265363 0.125004 2.123 0.04243 *
capital.l6 0.052410 0.072309 0.725 0.47438
loans.l7 0.334913 0.148098 2.261 0.03141 *
capital.l7 0.082373 0.072594 1.135 0.26579
loans.l8 0.102186 0.117348 0.871 0.39102
capital.l8 -0.076944 0.079642 -0.966 0.34197
loans.l9 0.053208 0.137469 0.387 0.70154
capital.l9 0.222066 0.078017 2.846 0.00804 **
const 0.067122 0.029808 2.252 0.03208 *
ten_two -0.031750 0.012885 -2.464 0.01991 *
ten_two_unexp -0.047898 0.036515 -1.312 0.19990
ten 0.246202 0.120049 2.051 0.04941 *
ten_unexp -0.102585 0.135424 -0.758 0.45486
cpi -3.217589 2.050636 -1.569 0.12748
cpi_unexp 1.098773 1.755889 0.626 0.53636
jobs 3.328587 2.362886 1.409 0.16956
jobs_unexp -0.392034 3.774382 -0.104 0.91799
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.03502 on 29 degrees of freedom
Multiple R-Squared: 0.7921, Adjusted R-squared: 0.6058
F-statistic: 4.25 on 26 and 29 DF, p-value: 0.0001267
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.04955 0.40727 -0.122 0.9040
capital.l1 -0.08755 0.19419 -0.451 0.6555
loans.l2 0.13045 0.35704 0.365 0.7175
capital.l2 -0.25605 0.20509 -1.248 0.2219
loans.l3 0.24282 0.29822 0.814 0.4221
capital.l3 0.22157 0.17669 1.254 0.2199
loans.l4 -0.07831 0.31308 -0.250 0.8043
capital.l4 -0.06352 0.18145 -0.350 0.7288
loans.l5 -0.59373 0.28353 -2.094 0.0451 *
capital.l5 -0.06513 0.16415 -0.397 0.6944
loans.l6 0.30051 0.29924 1.004 0.3236
capital.l6 -0.26610 0.17310 -1.537 0.1351
loans.l7 -0.21265 0.35452 -0.600 0.5533
capital.l7 -0.20914 0.17378 -1.203 0.2385
loans.l8 0.54556 0.28091 1.942 0.0619 .
capital.l8 0.08249 0.19065 0.433 0.6685
loans.l9 -0.11751 0.32907 -0.357 0.7236
capital.l9 -0.16796 0.18676 -0.899 0.3759
const 0.18876 0.07136 2.645 0.0130 *
ten_two -0.06010 0.03085 -1.949 0.0611 .
ten_two_unexp -0.11030 0.08741 -1.262 0.2171
ten 0.16987 0.28738 0.591 0.5590
ten_unexp -0.12979 0.32418 -0.400 0.6918
cpi 1.79572 4.90884 0.366 0.7172
cpi_unexp -3.61268 4.20327 -0.859 0.3971
jobs -7.75829 5.65630 -1.372 0.1807
jobs_unexp 15.22350 9.03516 1.685 0.1027
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.08383 on 29 degrees of freedom
Multiple R-Squared: 0.5645, Adjusted R-squared: 0.174
F-statistic: 1.446 on 26 and 29 DF, p-value: 0.1676
Covariance matrix of residuals:
loans capital
loans 0.0012262 0.0001971
capital 0.0001971 0.0070266
Correlation matrix of residuals:
loans capital
loans 1.00000 0.06714
capital 0.06714 1.00000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 58
Log Likelihood: 286.263
Roots of the characteristic polynomial:
0.9731 0.9122 0.882 0.882 0.8783 0.8783 0.8737 0.8737 0.831 0.831 0.7218 0.7218 0.5962 0.5962
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.172906 0.151869 1.139 0.2626
capital.l1 0.207135 0.096314 2.151 0.0385 *
loans.l2 -0.269259 0.142194 -1.894 0.0666 .
capital.l2 0.087824 0.071293 1.232 0.2262
loans.l3 0.222490 0.164783 1.350 0.1856
capital.l3 0.182336 0.075633 2.411 0.0213 *
loans.l4 0.020368 0.151006 0.135 0.8935
capital.l4 0.001423 0.083765 0.017 0.9865
loans.l5 -0.107681 0.130356 -0.826 0.4144
capital.l5 0.112578 0.077378 1.455 0.1546
loans.l6 0.202882 0.136151 1.490 0.1451
capital.l6 -0.126786 0.078473 -1.616 0.1151
loans.l7 0.040868 0.140797 0.290 0.7733
capital.l7 0.124993 0.083538 1.496 0.1436
const 0.003064 0.010467 0.293 0.7715
ten_two -0.010680 0.005366 -1.990 0.0544 .
ten_two_unexp 0.028954 0.015762 1.837 0.0747 .
ten 0.069922 0.085886 0.814 0.4211
ten_unexp -0.157620 0.097718 -1.613 0.1157
cpi 0.459203 1.047600 0.438 0.6638
cpi_unexp 1.065595 0.962414 1.107 0.2758
jobs 1.247556 1.114143 1.120 0.2704
jobs_unexp -2.474031 2.184823 -1.132 0.2652
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.02072 on 35 degrees of freedom
Multiple R-Squared: 0.7758, Adjusted R-squared: 0.6349
F-statistic: 5.506 on 22 and 35 DF, p-value: 4.242e-06
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.1544857 0.2465870 0.626 0.5351
capital.l1 0.0410807 0.1563841 0.263 0.7943
loans.l2 0.5096197 0.2308790 2.207 0.0339 *
capital.l2 0.1887513 0.1157578 1.631 0.1119
loans.l3 0.2722832 0.2675561 1.018 0.3158
capital.l3 -0.1528961 0.1228044 -1.245 0.2214
loans.l4 0.0007161 0.2451871 0.003 0.9977
capital.l4 -0.1626630 0.1360080 -1.196 0.2397
loans.l5 0.3900822 0.2116568 1.843 0.0738 .
capital.l5 -0.0092375 0.1256376 -0.074 0.9418
loans.l6 -0.0537304 0.2210665 -0.243 0.8094
capital.l6 -0.2894022 0.1274162 -2.271 0.0294 *
loans.l7 0.3524279 0.2286108 1.542 0.1322
capital.l7 -0.1946703 0.1356397 -1.435 0.1601
const -0.0016256 0.0169949 -0.096 0.9243
ten_two 0.0152893 0.0087131 1.755 0.0881 .
ten_two_unexp -0.0215569 0.0255925 -0.842 0.4053
ten 0.2187914 0.1394519 1.569 0.1257
ten_unexp -0.2756762 0.1586635 -1.737 0.0911 .
cpi -4.4479865 1.7009753 -2.615 0.0131 *
cpi_unexp 2.8935148 1.5626600 1.852 0.0725 .
jobs 3.1751047 1.8090197 1.755 0.0880 .
jobs_unexp -1.5277531 3.5474698 -0.431 0.6694
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.03365 on 35 degrees of freedom
Multiple R-Squared: 0.6697, Adjusted R-squared: 0.4621
F-statistic: 3.226 on 22 and 35 DF, p-value: 0.0009767
Covariance matrix of residuals:
loans capital
loans 4.295e-04 -1.135e-05
capital -1.135e-05 1.132e-03
Correlation matrix of residuals:
loans capital
loans 1.00000 -0.01628
capital -0.01628 1.00000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 61
Log Likelihood: 257.397
Roots of the characteristic polynomial:
0.7216 0.6868 0.6868 0.6355 0.6355 0.6273 0.6273 0.5143
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.132713 0.148201 -0.895 0.3754
capital.l1 0.009797 0.181774 0.054 0.9573
loans.l2 -0.050585 0.148903 -0.340 0.7357
capital.l2 0.226279 0.147197 1.537 0.1314
loans.l3 0.013395 0.149449 0.090 0.9290
capital.l3 -0.043693 0.147240 -0.297 0.7681
loans.l4 -0.156254 0.151376 -1.032 0.3076
capital.l4 0.265110 0.142053 1.866 0.0687 .
const 0.013603 0.017837 0.763 0.4497
ten_two 0.006752 0.007495 0.901 0.3725
ten_two_unexp -0.008475 0.026361 -0.321 0.7494
ten -0.024685 0.114627 -0.215 0.8305
ten_unexp 0.004076 0.125491 0.032 0.9742
cpi -1.315183 1.537849 -0.855 0.3971
cpi_unexp 0.359872 1.376373 0.261 0.7950
jobs 1.098379 1.630047 0.674 0.5039
jobs_unexp -1.906874 3.456168 -0.552 0.5839
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.03813 on 44 degrees of freedom
Multiple R-Squared: 0.1965, Adjusted R-squared: -0.09561
F-statistic: 0.6727 on 16 and 44 DF, p-value: 0.804
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.072757 0.123693 0.588 0.559
capital.l1 -0.073832 0.151714 -0.487 0.629
loans.l2 0.203607 0.124279 1.638 0.108
capital.l2 -0.067634 0.122855 -0.551 0.585
loans.l3 0.221982 0.124735 1.780 0.082 .
capital.l3 -0.025236 0.122891 -0.205 0.838
loans.l4 0.037621 0.126343 0.298 0.767
capital.l4 0.114194 0.118562 0.963 0.341
const 0.009229 0.014887 0.620 0.539
ten_two -0.008824 0.006256 -1.411 0.165
ten_two_unexp -0.010919 0.022002 -0.496 0.622
ten 0.028636 0.095671 0.299 0.766
ten_unexp -0.043145 0.104739 -0.412 0.682
cpi 0.144966 1.283536 0.113 0.911
cpi_unexp -0.737786 1.148764 -0.642 0.524
jobs 1.429605 1.360488 1.051 0.299
jobs_unexp -1.032147 2.884625 -0.358 0.722
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.03182 on 44 degrees of freedom
Multiple R-Squared: 0.2672, Adjusted R-squared: 0.0007456
F-statistic: 1.003 on 16 and 44 DF, p-value: 0.4716
Covariance matrix of residuals:
loans capital
loans 0.0014536 0.0002176
capital 0.0002176 0.0010126
Correlation matrix of residuals:
loans capital
loans 1.0000 0.1793
capital 0.1793 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 64
Log Likelihood: 145.645
Roots of the characteristic polynomial:
0.1666 0.008253
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.04587 0.13962 -0.329 0.7438
capital.l1 -0.06958 0.11881 -0.586 0.5606
const 0.07293 0.03252 2.242 0.0292 *
ten_two -0.03386 0.01389 -2.437 0.0182 *
ten_two_unexp 0.02166 0.05139 0.421 0.6751
ten -0.11036 0.23437 -0.471 0.6397
ten_unexp 0.11690 0.25507 0.458 0.6486
cpi 3.10626 3.03200 1.024 0.3103
cpi_unexp -4.32285 2.77544 -1.558 0.1253
jobs -2.59923 3.21079 -0.810 0.4218
jobs_unexp 9.22812 6.80574 1.356 0.1809
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.08051 on 53 degrees of freedom
Multiple R-Squared: 0.1643, Adjusted R-squared: 0.006616
F-statistic: 1.042 on 10 and 53 DF, p-value: 0.4225
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.06528 0.15700 -0.416 0.679
capital.l1 -0.12900 0.13359 -0.966 0.339
const 0.03034 0.03657 0.830 0.410
ten_two -0.01433 0.01562 -0.918 0.363
ten_two_unexp 0.03838 0.05778 0.664 0.509
ten 0.05815 0.26353 0.221 0.826
ten_unexp 0.03725 0.28681 0.130 0.897
cpi 1.94170 3.40931 0.570 0.571
cpi_unexp -2.32810 3.12082 -0.746 0.459
jobs -1.26308 3.61034 -0.350 0.728
jobs_unexp -2.51280 7.65266 -0.328 0.744
Residual standard error: 0.09053 on 53 degrees of freedom
Multiple R-Squared: 0.07735, Adjusted R-squared: -0.09673
F-statistic: 0.4443 on 10 and 53 DF, p-value: 0.9173
Covariance matrix of residuals:
loans capital
loans 0.0064815 0.0006051
capital 0.0006051 0.0081949
Correlation matrix of residuals:
loans capital
loans 1.00000 0.08303
capital 0.08303 1.00000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 59
Log Likelihood: 201.128
Roots of the characteristic polynomial:
0.7923 0.7883 0.7883 0.7742 0.7742 0.76 0.76 0.7573 0.7573 0.7348 0.7348 0.3237
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.360458 0.140723 2.561 0.014515 *
capital.l1 0.056750 0.097056 0.585 0.562192
loans.l2 0.218581 0.148998 1.467 0.150604
capital.l2 -0.334367 0.107194 -3.119 0.003452 **
loans.l3 -0.139043 0.146026 -0.952 0.347024
capital.l3 0.055726 0.121849 0.457 0.650031
loans.l4 -0.120877 0.169087 -0.715 0.479053
capital.l4 0.028003 0.116828 0.240 0.811853
loans.l5 0.171796 0.145710 1.179 0.245717
capital.l5 -0.026621 0.113433 -0.235 0.815713
loans.l6 0.061872 0.117354 0.527 0.601103
capital.l6 0.003100 0.100091 0.031 0.975453
const -0.004723 0.027578 -0.171 0.864929
ten_two -0.012585 0.010089 -1.247 0.219867
ten_two_unexp 0.034186 0.031641 1.080 0.286750
ten 0.061768 0.150523 0.410 0.683847
ten_unexp -0.022036 0.154238 -0.143 0.887145
cpi -0.805440 2.053549 -0.392 0.697088
cpi_unexp 1.181114 1.741528 0.678 0.501751
jobs 9.401925 2.312275 4.066 0.000232 ***
jobs_unexp -16.730718 4.730430 -3.537 0.001086 **
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.04476 on 38 degrees of freedom
Multiple R-Squared: 0.7181, Adjusted R-squared: 0.5697
F-statistic: 4.84 on 20 and 38 DF, p-value: 1.509e-05
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.321372 0.211309 -1.521 0.13657
capital.l1 -0.472658 0.145738 -3.243 0.00246 **
loans.l2 -0.141558 0.223735 -0.633 0.53072
capital.l2 -0.677884 0.160962 -4.211 0.00015 ***
loans.l3 0.170483 0.219271 0.777 0.44168
capital.l3 -0.447613 0.182968 -2.446 0.01917 *
loans.l4 -0.200917 0.253901 -0.791 0.43367
capital.l4 -0.483022 0.175428 -2.753 0.00900 **
loans.l5 0.168287 0.218797 0.769 0.44656
capital.l5 -0.073036 0.170330 -0.429 0.67050
loans.l6 0.137729 0.176219 0.782 0.43930
capital.l6 -0.269249 0.150297 -1.791 0.08119 .
const 0.027258 0.041412 0.658 0.51436
ten_two -0.006685 0.015149 -0.441 0.66153
ten_two_unexp 0.034025 0.047512 0.716 0.47829
ten -0.342544 0.226024 -1.516 0.13792
ten_unexp 0.252955 0.231603 1.092 0.28162
cpi 4.972063 3.083596 1.612 0.11515
cpi_unexp -4.841496 2.615068 -1.851 0.07190 .
jobs 7.312404 3.472098 2.106 0.04186 *
jobs_unexp 0.272647 7.103184 0.038 0.96958
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.06721 on 38 degrees of freedom
Multiple R-Squared: 0.512, Adjusted R-squared: 0.2551
F-statistic: 1.993 on 20 and 38 DF, p-value: 0.03306
Covariance matrix of residuals:
loans capital
loans 2.003e-03 -9.421e-05
capital -9.421e-05 4.517e-03
Correlation matrix of residuals:
loans capital
loans 1.00000 -0.03132
capital -0.03132 1.00000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 64
Log Likelihood: 279.878
Roots of the characteristic polynomial:
0.2913 0.09128
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.298016 0.133921 2.225 0.0303 *
capital.l1 -0.043886 0.105213 -0.417 0.6783
const 0.010239 0.011531 0.888 0.3786
ten_two 0.003805 0.004564 0.834 0.4082
ten_two_unexp -0.011764 0.016537 -0.711 0.4800
ten 0.119735 0.077028 1.554 0.1260
ten_unexp -0.102093 0.083499 -1.223 0.2269
cpi -0.622295 1.055216 -0.590 0.5579
cpi_unexp 0.188251 0.942384 0.200 0.8424
jobs 0.157073 1.043327 0.151 0.8809
jobs_unexp -0.090118 2.231161 -0.040 0.9679
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.02636 on 53 degrees of freedom
Multiple R-Squared: 0.1656, Adjusted R-squared: 0.008131
F-statistic: 1.052 on 10 and 53 DF, p-value: 0.4151
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.059735 0.173197 0.345 0.7315
capital.l1 -0.098017 0.136070 -0.720 0.4745
const 0.020133 0.014913 1.350 0.1828
ten_two -0.002898 0.005903 -0.491 0.6255
ten_two_unexp 0.002029 0.021387 0.095 0.9248
ten -0.026360 0.099619 -0.265 0.7923
ten_unexp 0.035446 0.107987 0.328 0.7440
cpi -1.435040 1.364689 -1.052 0.2978
cpi_unexp -1.290661 1.218766 -1.059 0.2944
jobs 1.668813 1.349313 1.237 0.2216
jobs_unexp -5.159181 2.885516 -1.788 0.0795 .
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.0341 on 53 degrees of freedom
Multiple R-Squared: 0.2637, Adjusted R-squared: 0.1248
F-statistic: 1.898 on 10 and 53 DF, p-value: 0.06604
Covariance matrix of residuals:
loans capital
loans 0.0006951 0.000114
capital 0.0001140 0.001163
Correlation matrix of residuals:
loans capital
loans 1.0000 0.1268
capital 0.1268 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 59
Log Likelihood: 263.784
Roots of the characteristic polynomial:
0.8962 0.8962 0.8446 0.8446 0.8318 0.8318 0.8184 0.8092 0.8092 0.7926 0.7926 0.7495
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.105506 0.154219 0.684 0.49804
capital.l1 -0.266123 0.427800 -0.622 0.53761
loans.l2 0.262235 0.157215 1.668 0.10354
capital.l2 -1.270406 0.413088 -3.075 0.00388 **
loans.l3 0.034672 0.155319 0.223 0.82455
capital.l3 0.473487 0.435045 1.088 0.28329
loans.l4 -0.084805 0.161566 -0.525 0.60271
capital.l4 0.730080 0.354814 2.058 0.04653 *
loans.l5 -0.116983 0.147058 -0.795 0.43127
capital.l5 0.766450 0.368388 2.081 0.04427 *
loans.l6 0.068814 0.175268 0.393 0.69679
capital.l6 0.938256 0.387161 2.423 0.02025 *
const 0.046037 0.033652 1.368 0.17933
ten_two -0.031944 0.011374 -2.808 0.00782 **
ten_two_unexp 0.002275 0.048035 0.047 0.96247
ten -0.004116 0.172424 -0.024 0.98108
ten_unexp -0.066862 0.190176 -0.352 0.72710
cpi -1.861060 2.108449 -0.883 0.38297
cpi_unexp 1.516989 1.890298 0.803 0.42725
jobs 0.275516 2.397186 0.115 0.90910
jobs_unexp 1.091442 4.829753 0.226 0.82243
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.05191 on 38 degrees of freedom
Multiple R-Squared: 0.6058, Adjusted R-squared: 0.3984
F-statistic: 2.92 on 20 and 38 DF, p-value: 0.002185
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.014995 0.059710 0.251 0.8031
capital.l1 0.127167 0.165635 0.768 0.4474
loans.l2 -0.011604 0.060870 -0.191 0.8498
capital.l2 -0.066171 0.159939 -0.414 0.6814
loans.l3 -0.033251 0.060136 -0.553 0.5835
capital.l3 0.050559 0.168440 0.300 0.7657
loans.l4 0.132787 0.062555 2.123 0.0404 *
capital.l4 0.201285 0.137377 1.465 0.1511
loans.l5 0.005723 0.056938 0.101 0.9205
capital.l5 -0.065525 0.142632 -0.459 0.6486
loans.l6 -0.090795 0.067860 -1.338 0.1889
capital.l6 0.215584 0.149901 1.438 0.1586
const 0.022043 0.013029 1.692 0.0989 .
ten_two -0.005530 0.004404 -1.256 0.2169
ten_two_unexp 0.006712 0.018598 0.361 0.7202
ten -0.026145 0.066759 -0.392 0.6975
ten_unexp -0.026114 0.073632 -0.355 0.7248
cpi 0.467149 0.816349 0.572 0.5705
cpi_unexp -0.423523 0.731885 -0.579 0.5662
jobs -0.030967 0.928142 -0.033 0.9736
jobs_unexp -0.331467 1.869982 -0.177 0.8602
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.0201 on 38 degrees of freedom
Multiple R-Squared: 0.4524, Adjusted R-squared: 0.1641
F-statistic: 1.569 on 20 and 38 DF, p-value: 0.1138
Covariance matrix of residuals:
loans capital
loans 2.695e-03 8.762e-05
capital 8.762e-05 4.040e-04
Correlation matrix of residuals:
loans capital
loans 1.00000 0.08397
capital 0.08397 1.00000Warning in cor(resids): the standard deviation is zero[1] "error"
[1] "error"Warning in xy.coords(x, y, xlabel, ylabel, log): NAs introduced by coercionWarning in min(x): no non-missing arguments to min; returning InfWarning in max(x): no non-missing arguments to max; returning -Inf[1] "error"
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 58
Log Likelihood: 98.697
Roots of the characteristic polynomial:
0.9345 0.9345 0.8981 0.8981 0.8687 0.8687 0.8604 0.8604 0.8434 0.8434 0.8342 0.8342 0.7843 0.02783
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.2718553 0.1497371 1.816 0.0780 .
capital.l1 -0.0146572 0.0083151 -1.763 0.0867 .
loans.l2 -0.0680689 0.1549566 -0.439 0.6632
capital.l2 0.0120184 0.0087013 1.381 0.1760
loans.l3 0.5185764 0.1505474 3.445 0.0015 **
capital.l3 0.0020874 0.0090793 0.230 0.8195
loans.l4 0.3643435 0.1658660 2.197 0.0348 *
capital.l4 -0.0142667 0.0090342 -1.579 0.1233
loans.l5 0.1026838 0.1533215 0.670 0.5074
capital.l5 -0.0002313 0.0097656 -0.024 0.9812
loans.l6 -0.2028664 0.1464518 -1.385 0.1748
capital.l6 0.0001898 0.0097335 0.020 0.9846
loans.l7 -0.1363831 0.1411910 -0.966 0.3407
capital.l7 0.0597955 0.0090524 6.605 1.24e-07 ***
const 0.0026777 0.0142780 0.188 0.8523
ten_two -0.0032893 0.0059979 -0.548 0.5869
ten_two_unexp 0.0096040 0.0220621 0.435 0.6660
ten 0.1010031 0.0997359 1.013 0.3182
ten_unexp -0.0513967 0.1081731 -0.475 0.6376
cpi -0.4597100 1.3412528 -0.343 0.7338
cpi_unexp -0.3310118 1.1651849 -0.284 0.7780
jobs 0.9645391 1.6633067 0.580 0.5657
jobs_unexp -0.8449095 2.8331735 -0.298 0.7673
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.02992 on 35 degrees of freedom
Multiple R-Squared: 0.8, Adjusted R-squared: 0.6743
F-statistic: 6.365 on 22 and 35 DF, p-value: 7.635e-07
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -2.93691 2.96306 -0.991 0.3284
capital.l1 -0.08182 0.16454 -0.497 0.6221
loans.l2 1.39803 3.06635 0.456 0.6513
capital.l2 -0.17213 0.17218 -1.000 0.3243
loans.l3 -0.76437 2.97910 -0.257 0.7990
capital.l3 -0.07747 0.17967 -0.431 0.6690
loans.l4 0.83415 3.28223 0.254 0.8009
capital.l4 -0.10512 0.17877 -0.588 0.5603
loans.l5 2.03062 3.03399 0.669 0.5077
capital.l5 -0.13881 0.19325 -0.718 0.4773
loans.l6 -1.77392 2.89805 -0.612 0.5444
capital.l6 -0.16179 0.19261 -0.840 0.4066
loans.l7 0.18152 2.79395 0.065 0.9486
capital.l7 -0.11076 0.17913 -0.618 0.5404
const 0.18966 0.28254 0.671 0.5064
ten_two -0.08064 0.11869 -0.679 0.5013
ten_two_unexp 0.06168 0.43658 0.141 0.8885
ten 3.56665 1.97362 1.807 0.0793 .
ten_unexp -3.53845 2.14058 -1.653 0.1073
cpi 3.05656 26.54129 0.115 0.9090
cpi_unexp -7.13712 23.05718 -0.310 0.7587
jobs -6.57187 32.91423 -0.200 0.8429
jobs_unexp 0.63258 56.06406 0.011 0.9911
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.5921 on 35 degrees of freedom
Multiple R-Squared: 0.1499, Adjusted R-squared: -0.3845
F-statistic: 0.2804 on 22 and 35 DF, p-value: 0.9987
Covariance matrix of residuals:
loans capital
loans 0.0008952 0.000806
capital 0.0008060 0.350528
Correlation matrix of residuals:
loans capital
loans 1.0000 0.0455
capital 0.0455 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 55
Log Likelihood: 239.557
Roots of the characteristic polynomial:
0.8387 0.8387 0.8012 0.8012 0.7826 0.7826 0.76 0.7212 0.7212 0.713 0.713 0.6003 0.6003 0.3077
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.083874 0.191742 0.437 0.6647
capital.l1 -1.237410 0.542133 -2.282 0.0293 *
loans.l2 0.156794 0.158698 0.988 0.3306
capital.l2 0.307066 0.543178 0.565 0.5758
loans.l3 0.168568 0.153071 1.101 0.2790
capital.l3 0.489789 0.517449 0.947 0.3510
loans.l4 -0.108262 0.146529 -0.739 0.4654
capital.l4 -1.377021 0.565789 -2.434 0.0207 *
loans.l5 -0.024088 0.147453 -0.163 0.8713
capital.l5 -0.118063 0.660368 -0.179 0.8592
loans.l6 0.108089 0.104807 1.031 0.3101
capital.l6 -0.317578 0.591942 -0.537 0.5953
loans.l7 0.054790 0.083449 0.657 0.5162
capital.l7 0.571491 0.609625 0.937 0.3556
const 0.032887 0.049674 0.662 0.5127
ten_two -0.017244 0.017684 -0.975 0.3368
ten_two_unexp -0.028605 0.049191 -0.582 0.5650
ten -0.006614 0.228238 -0.029 0.9771
ten_unexp -0.152140 0.238895 -0.637 0.5288
cpi -1.243989 2.540778 -0.490 0.6277
cpi_unexp 4.282016 2.469706 1.734 0.0926 .
jobs 3.472623 3.185278 1.090 0.2838
jobs_unexp -9.045047 7.457619 -1.213 0.2341
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.06218 on 32 degrees of freedom
Multiple R-Squared: 0.5962, Adjusted R-squared: 0.3186
F-statistic: 2.148 on 22 and 32 DF, p-value: 0.02383
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.0083902 0.0640820 -0.131 0.8967
capital.l1 0.0791704 0.1811860 0.437 0.6651
loans.l2 0.0120530 0.0530385 0.227 0.8217
capital.l2 -0.2783515 0.1815351 -1.533 0.1350
loans.l3 -0.0199573 0.0511577 -0.390 0.6990
capital.l3 -0.0549259 0.1729363 -0.318 0.7528
loans.l4 0.0051259 0.0489714 0.105 0.9173
capital.l4 0.0350659 0.1890920 0.185 0.8541
loans.l5 0.0271062 0.0492802 0.550 0.5861
capital.l5 0.0065463 0.2207012 0.030 0.9765
loans.l6 0.0353196 0.0350274 1.008 0.3209
capital.l6 0.2654574 0.1978326 1.342 0.1891
loans.l7 -0.0235204 0.0278893 -0.843 0.4053
capital.l7 -0.1328977 0.2037423 -0.652 0.5189
const -0.0002056 0.0166014 -0.012 0.9902
ten_two 0.0017920 0.0059101 0.303 0.7637
ten_two_unexp -0.0077399 0.0164400 -0.471 0.6410
ten -0.0253517 0.0762792 -0.332 0.7418
ten_unexp 0.0360565 0.0798410 0.452 0.6546
cpi -0.3240752 0.8491522 -0.382 0.7052
cpi_unexp 0.3712917 0.8253991 0.450 0.6559
jobs 2.1710910 1.0645500 2.039 0.0497 *
jobs_unexp -3.7184247 2.4924067 -1.492 0.1455
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.02078 on 32 degrees of freedom
Multiple R-Squared: 0.3237, Adjusted R-squared: -0.1412
F-statistic: 0.6963 on 22 and 32 DF, p-value: 0.8103
Covariance matrix of residuals:
loans capital
loans 3.866e-03 -3.561e-05
capital -3.561e-05 4.318e-04
Correlation matrix of residuals:
loans capital
loans 1.00000 -0.02756
capital -0.02756 1.00000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 58
Log Likelihood: 9.194
Roots of the characteristic polynomial:
3.131 1.843 1.308 1.308 0.9891 0.9891 0.9714 0.9685 0.9685 0.811 0.811 0.7882 0.7882 0.782
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.114600 0.140081 0.818 0.418839
capital.l1 0.092317 0.075627 1.221 0.230363
loans.l2 0.090789 0.132668 0.684 0.498271
capital.l2 0.028244 0.071547 0.395 0.695420
loans.l3 0.126625 0.132784 0.954 0.346818
capital.l3 -0.127417 0.066663 -1.911 0.064174 .
loans.l4 -0.226866 0.128084 -1.771 0.085231 .
capital.l4 0.001604 0.065971 0.024 0.980738
loans.l5 -0.051148 0.131353 -0.389 0.699344
capital.l5 0.099003 0.059193 1.673 0.103331
loans.l6 -0.083294 0.139151 -0.599 0.553304
capital.l6 -0.021501 0.065445 -0.329 0.744464
loans.l7 0.136772 0.150590 0.908 0.369961
capital.l7 0.267844 0.070321 3.809 0.000541 ***
const -0.018272 0.025114 -0.728 0.471714
ten_two 0.022385 0.011412 1.961 0.057814 .
ten_two_unexp 0.018094 0.033203 0.545 0.589228
ten 0.093690 0.161980 0.578 0.566694
ten_unexp -0.219208 0.167858 -1.306 0.200101
cpi 2.087365 2.715307 0.769 0.447204
cpi_unexp 0.882419 2.196411 0.402 0.690307
jobs -4.985407 2.552546 -1.953 0.058838 .
jobs_unexp 8.511105 4.454901 1.911 0.064288 .
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.04289 on 35 degrees of freedom
Multiple R-Squared: 0.6668, Adjusted R-squared: 0.4573
F-statistic: 3.183 on 22 and 35 DF, p-value: 0.001097
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 6.2156 6.3040 0.986 0.3309
capital.l1 -4.3657 3.4034 -1.283 0.2080
loans.l2 -3.0544 5.9704 -0.512 0.6121
capital.l2 -4.7330 3.2198 -1.470 0.1505
loans.l3 1.4659 5.9757 0.245 0.8076
capital.l3 -2.7425 3.0000 -0.914 0.3669
loans.l4 5.7187 5.7641 0.992 0.3280
capital.l4 -3.7749 2.9689 -1.271 0.2119
loans.l5 4.9558 5.9112 0.838 0.4075
capital.l5 2.2223 2.6638 0.834 0.4098
loans.l6 -11.8565 6.2622 -1.893 0.0666 .
capital.l6 -6.3354 2.9452 -2.151 0.0385 *
loans.l7 8.6867 6.7769 1.282 0.2083
capital.l7 -3.5415 3.1646 -1.119 0.2707
const 0.7839 1.1302 0.694 0.4925
ten_two 0.1384 0.5136 0.270 0.7891
ten_two_unexp 0.5305 1.4942 0.355 0.7247
ten 4.8057 7.2895 0.659 0.5140
ten_unexp -4.3896 7.5541 -0.581 0.5649
cpi -263.7572 122.1962 -2.158 0.0378 *
cpi_unexp 102.8804 98.8445 1.041 0.3051
jobs 26.2415 114.8715 0.228 0.8206
jobs_unexp 122.0317 200.4827 0.609 0.5467
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 1.93 on 35 degrees of freedom
Multiple R-Squared: 0.4369, Adjusted R-squared: 0.08299
F-statistic: 1.234 on 22 and 35 DF, p-value: 0.2823
Covariance matrix of residuals:
loans capital
loans 0.001840 0.000334
capital 0.000334 3.726333
Correlation matrix of residuals:
loans capital
loans 1.000000 0.004033
capital 0.004033 1.000000[1] "error"
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 60
Log Likelihood: 222.514
Roots of the characteristic polynomial:
0.8438 0.8438 0.7963 0.7963 0.7799 0.7799 0.7182 0.7182 0.663 0.0764
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.048088 0.152762 -0.315 0.75452
capital.l1 0.076015 0.181550 0.419 0.67762
loans.l2 -0.428376 0.144672 -2.961 0.00508 **
capital.l2 0.492256 0.158080 3.114 0.00336 **
loans.l3 0.009066 0.133952 0.068 0.94637
capital.l3 0.234263 0.166456 1.407 0.16686
loans.l4 -0.239051 0.132323 -1.807 0.07817 .
capital.l4 0.210367 0.162014 1.298 0.20139
loans.l5 -0.121588 0.135282 -0.899 0.37402
capital.l5 0.194888 0.156203 1.248 0.21923
const 0.020942 0.022921 0.914 0.36624
ten_two -0.005245 0.009428 -0.556 0.58104
ten_two_unexp 0.003082 0.039351 0.078 0.93795
ten 0.014285 0.174842 0.082 0.93528
ten_unexp 0.070960 0.182381 0.389 0.69923
cpi 0.372848 1.956418 0.191 0.84980
cpi_unexp -0.418459 1.834830 -0.228 0.82073
jobs -1.853364 2.525733 -0.734 0.46725
jobs_unexp 13.153916 5.869514 2.241 0.03050 *
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.05032 on 41 degrees of freedom
Multiple R-Squared: 0.4431, Adjusted R-squared: 0.1985
F-statistic: 1.812 on 18 and 41 DF, p-value: 0.05776
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.127386 0.129942 -0.980 0.33267
capital.l1 -0.202024 0.154428 -1.308 0.19809
loans.l2 -0.179549 0.123060 -1.459 0.15217
capital.l2 0.004768 0.134465 0.035 0.97188
loans.l3 -0.265358 0.113941 -2.329 0.02487 *
capital.l3 -0.035758 0.141589 -0.253 0.80188
loans.l4 0.188862 0.112555 1.678 0.10096
capital.l4 0.227219 0.137812 1.649 0.10684
loans.l5 -0.095614 0.115072 -0.831 0.41084
capital.l5 0.212267 0.132868 1.598 0.11782
const -0.003699 0.019497 -0.190 0.85046
ten_two -0.009522 0.008019 -1.187 0.24191
ten_two_unexp 0.007741 0.033472 0.231 0.81826
ten 0.408385 0.148723 2.746 0.00892 **
ten_unexp -0.509252 0.155136 -3.283 0.00211 **
cpi -1.981897 1.664154 -1.191 0.24053
cpi_unexp 3.274757 1.560730 2.098 0.04209 *
jobs 6.313870 2.148421 2.939 0.00539 **
jobs_unexp -11.758946 4.992684 -2.355 0.02338 *
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.04281 on 41 degrees of freedom
Multiple R-Squared: 0.5621, Adjusted R-squared: 0.3698
F-statistic: 2.923 on 18 and 41 DF, p-value: 0.002235
Covariance matrix of residuals:
loans capital
loans 0.0025325 0.0004787
capital 0.0004787 0.0018324
Correlation matrix of residuals:
loans capital
loans 1.0000 0.2222
capital 0.2222 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 64
Log Likelihood: 317.243
Roots of the characteristic polynomial:
0.2031 0.06937
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.2086152 0.1306304 1.597 0.116
capital.l1 -0.1096237 0.1374751 -0.797 0.429
const -0.0022577 0.0086858 -0.260 0.796
ten_two -0.0001088 0.0036978 -0.029 0.977
ten_two_unexp -0.0010526 0.0136311 -0.077 0.939
ten 0.0001471 0.0660913 0.002 0.998
ten_unexp -0.0355620 0.0710417 -0.501 0.619
cpi 1.1340916 0.8296934 1.367 0.177
cpi_unexp -0.8601921 0.7766948 -1.108 0.273
jobs 0.0334890 0.8919164 0.038 0.970
jobs_unexp -0.9641626 1.8112943 -0.532 0.597
Residual standard error: 0.02169 on 53 degrees of freedom
Multiple R-Squared: 0.1309, Adjusted R-squared: -0.03304
F-statistic: 0.7985 on 10 and 53 DF, p-value: 0.6305
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.013921 0.139077 0.100 0.9206
capital.l1 -0.074864 0.146364 -0.511 0.6111
const 0.007636 0.009247 0.826 0.4127
ten_two 0.003330 0.003937 0.846 0.4014
ten_two_unexp 0.004333 0.014513 0.299 0.7664
ten 0.077582 0.070365 1.103 0.2752
ten_unexp -0.116122 0.075635 -1.535 0.1307
cpi 0.582019 0.883343 0.659 0.5128
cpi_unexp -0.106844 0.826917 -0.129 0.8977
jobs -1.608184 0.949589 -1.694 0.0962 .
jobs_unexp 1.095427 1.928416 0.568 0.5724
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.02309 on 53 degrees of freedom
Multiple R-Squared: 0.1534, Adjusted R-squared: -0.006391
F-statistic: 0.96 on 10 and 53 DF, p-value: 0.4883
Covariance matrix of residuals:
loans capital
loans 4.703e-04 -5.772e-05
capital -5.772e-05 5.331e-04
Correlation matrix of residuals:
loans capital
loans 1.0000 -0.1153
capital -0.1153 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 36
Log Likelihood: 129.758
Roots of the characteristic polynomial:
1.128 1.128 0.9848 0.9848 0.9537 0.9537 0.8975 0.8975 0.8675 0.8675 0.8577 0.8577 0.8432 0.8432 0.8313 0.8313 0.8261 0.8261 0.384 0.005837
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.345734 0.289431 -1.195 0.271
capital.l1 0.028517 0.126549 0.225 0.828
loans.l2 -0.140899 0.355187 -0.397 0.703
capital.l2 -0.091485 0.212546 -0.430 0.680
loans.l3 0.138939 0.281804 0.493 0.637
capital.l3 -0.083838 0.173617 -0.483 0.644
loans.l4 0.410381 0.284425 1.443 0.192
capital.l4 -0.170901 0.152319 -1.122 0.299
loans.l5 0.446609 0.298698 1.495 0.179
capital.l5 0.082370 0.199238 0.413 0.692
loans.l6 -0.360474 0.276985 -1.301 0.234
capital.l6 -0.281743 0.193096 -1.459 0.188
loans.l7 -0.036110 0.279602 -0.129 0.901
capital.l7 0.013022 0.217402 0.060 0.954
loans.l8 -0.562535 0.329076 -1.709 0.131
capital.l8 -0.257217 0.186543 -1.379 0.210
loans.l9 0.362413 0.210869 1.719 0.129
capital.l9 0.091414 0.185429 0.493 0.637
loans.l10 0.001260 0.000464 2.716 0.030 *
capital.l10 -0.148206 0.159453 -0.929 0.384
const 0.135432 0.126218 1.073 0.319
ten_two -0.053102 0.045827 -1.159 0.285
ten_two_unexp -0.108752 0.143041 -0.760 0.472
ten -0.298426 0.331052 -0.901 0.397
ten_unexp 0.430607 0.422213 1.020 0.342
cpi -7.596604 6.358984 -1.195 0.271
cpi_unexp 3.167267 5.623413 0.563 0.591
jobs 7.828015 11.281175 0.694 0.510
jobs_unexp 8.406009 17.980488 0.468 0.654
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.06613 on 7 degrees of freedom
Multiple R-Squared: 0.8843, Adjusted R-squared: 0.4213
F-statistic: 1.91 on 28 and 7 DF, p-value: 0.1909
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.467738 0.693642 0.674 0.5217
capital.l1 0.223818 0.303285 0.738 0.4845
loans.l2 0.213270 0.851233 0.251 0.8094
capital.l2 -0.057189 0.509382 -0.112 0.9138
loans.l3 -0.577205 0.675364 -0.855 0.4210
capital.l3 0.091232 0.416087 0.219 0.8327
loans.l4 -0.494810 0.681646 -0.726 0.4914
capital.l4 -0.823320 0.365043 -2.255 0.0587 .
loans.l5 0.189918 0.715852 0.265 0.7984
capital.l5 0.418025 0.477489 0.875 0.4104
loans.l6 0.588530 0.663814 0.887 0.4047
capital.l6 -0.291768 0.462770 -0.630 0.5484
loans.l7 0.938517 0.670087 1.401 0.2041
capital.l7 0.167021 0.521020 0.321 0.7579
loans.l8 -1.429264 0.788655 -1.812 0.1128
capital.l8 -0.616801 0.447063 -1.380 0.2101
loans.l9 0.639669 0.505364 1.266 0.2461
capital.l9 0.581848 0.444395 1.309 0.2318
loans.l10 0.001186 0.001112 1.067 0.3215
capital.l10 -0.438226 0.382141 -1.147 0.2892
const 0.016067 0.302491 0.053 0.9591
ten_two -0.028857 0.109827 -0.263 0.8003
ten_two_unexp 0.021209 0.342809 0.062 0.9524
ten 0.818195 0.793390 1.031 0.3367
ten_unexp -0.818176 1.011865 -0.809 0.4454
cpi 9.198704 15.239775 0.604 0.5651
cpi_unexp -4.583143 13.476925 -0.340 0.7438
jobs 16.136612 27.036168 0.597 0.5694
jobs_unexp 7.242888 43.091566 0.168 0.8713
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.1585 on 7 degrees of freedom
Multiple R-Squared: 0.8554, Adjusted R-squared: 0.277
F-statistic: 1.479 on 28 and 7 DF, p-value: 0.3094
Covariance matrix of residuals:
loans capital
loans 0.004373 0.006536
capital 0.006536 0.025114
Correlation matrix of residuals:
loans capital
loans 1.0000 0.6237
capital 0.6237 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 55
Log Likelihood: 286.862
Roots of the characteristic polynomial:
1.019 1.019 0.984 0.984 0.9698 0.9698 0.9684 0.9684 0.9657 0.9657 0.9444 0.9444 0.9383 0.9375 0.9375 0.9371 0.9371 0.8715 0.8715 0.4368
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.2045909 0.1699298 1.204 0.239447
capital.l1 0.0312550 0.1301732 0.240 0.812133
loans.l2 0.4823446 0.1559963 3.092 0.004702 **
capital.l2 0.2069940 0.1245629 1.662 0.108572
loans.l3 0.0017855 0.1553961 0.011 0.990920
capital.l3 0.0764421 0.1298624 0.589 0.561183
loans.l4 0.2731618 0.1661702 1.644 0.112243
capital.l4 0.2785112 0.1359843 2.048 0.050773 .
loans.l5 -0.1913731 0.1481810 -1.291 0.207900
capital.l5 0.2370208 0.1506179 1.574 0.127658
loans.l6 -0.0152427 0.1492522 -0.102 0.919439
capital.l6 -0.0521601 0.1355724 -0.385 0.703559
loans.l7 0.2591487 0.1574282 1.646 0.111772
capital.l7 0.5970760 0.1620142 3.685 0.001056 **
loans.l8 0.0508238 0.1675733 0.303 0.764080
capital.l8 -0.0360896 0.1354765 -0.266 0.792040
loans.l9 -0.1922706 0.1416210 -1.358 0.186245
capital.l9 0.5955136 0.1357161 4.388 0.000169 ***
loans.l10 -0.0001021 0.1860868 -0.001 0.999566
capital.l10 -0.2929911 0.1402649 -2.089 0.046656 *
const -0.0495462 0.0161597 -3.066 0.005011 **
ten_two 0.0006713 0.0053053 0.127 0.900285
ten_two_unexp -0.0037358 0.0179353 -0.208 0.836623
ten 0.2228709 0.0925725 2.408 0.023454 *
ten_unexp -0.2924046 0.1079981 -2.707 0.011822 *
cpi 2.4267251 1.2880858 1.884 0.070797 .
cpi_unexp -2.9518782 1.0266270 -2.875 0.007948 **
jobs 1.1597882 1.4225805 0.815 0.422323
jobs_unexp -7.0018732 2.3342681 -3.000 0.005891 **
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.02179 on 26 degrees of freedom
Multiple R-Squared: 0.8431, Adjusted R-squared: 0.6742
F-statistic: 4.99 on 28 and 26 DF, p-value: 4.745e-05
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 3.893e-01 2.416e-01 1.611 0.1192
capital.l1 -5.494e-02 1.850e-01 -0.297 0.7689
loans.l2 -1.124e-03 2.218e-01 -0.005 0.9960
capital.l2 -2.415e-01 1.771e-01 -1.364 0.1842
loans.l3 -2.740e-01 2.209e-01 -1.240 0.2259
capital.l3 2.542e-02 1.846e-01 0.138 0.8915
loans.l4 8.435e-02 2.362e-01 0.357 0.7239
capital.l4 -1.406e-01 1.933e-01 -0.727 0.4735
loans.l5 -1.304e-01 2.106e-01 -0.619 0.5414
capital.l5 -1.539e-01 2.141e-01 -0.719 0.4787
loans.l6 -1.496e-01 2.122e-01 -0.705 0.4872
capital.l6 -5.566e-03 1.927e-01 -0.029 0.9772
loans.l7 -1.216e-01 2.238e-01 -0.544 0.5914
capital.l7 1.016e-01 2.303e-01 0.441 0.6628
loans.l8 -3.009e-01 2.382e-01 -1.263 0.2178
capital.l8 -3.525e-02 1.926e-01 -0.183 0.8562
loans.l9 -1.294e-01 2.013e-01 -0.643 0.5259
capital.l9 -2.906e-01 1.929e-01 -1.506 0.1441
loans.l10 6.047e-01 2.645e-01 2.286 0.0307 *
capital.l10 3.724e-03 1.994e-01 0.019 0.9852
const 2.994e-02 2.297e-02 1.303 0.2039
ten_two -4.995e-05 7.542e-03 -0.007 0.9948
ten_two_unexp 1.637e-03 2.550e-02 0.064 0.9493
ten 6.642e-02 1.316e-01 0.505 0.6180
ten_unexp -5.514e-02 1.535e-01 -0.359 0.7224
cpi -2.305e+00 1.831e+00 -1.259 0.2193
cpi_unexp 1.970e+00 1.459e+00 1.350 0.1886
jobs 1.249e+00 2.022e+00 0.618 0.5420
jobs_unexp -2.003e+00 3.318e+00 -0.603 0.5514
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.03098 on 26 degrees of freedom
Multiple R-Squared: 0.562, Adjusted R-squared: 0.09027
F-statistic: 1.191 on 28 and 26 DF, p-value: 0.3282
Covariance matrix of residuals:
loans capital
loans 4.750e-04 -5.825e-05
capital -5.825e-05 9.597e-04
Correlation matrix of residuals:
loans capital
loans 1.00000 -0.08627
capital -0.08627 1.00000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 64
Log Likelihood: 113.036
Roots of the characteristic polynomial:
0.5178 0.1229
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.172916 0.153409 -1.127 0.265
capital.l1 -0.023869 0.045532 -0.524 0.602
const 0.008477 0.026704 0.317 0.752
ten_two -0.004947 0.011384 -0.435 0.666
ten_two_unexp -0.023191 0.042962 -0.540 0.592
ten -0.048008 0.198153 -0.242 0.810
ten_unexp 0.143416 0.214508 0.669 0.507
cpi -1.805602 2.531530 -0.713 0.479
cpi_unexp 0.765191 2.345725 0.326 0.746
jobs 3.265421 2.691530 1.213 0.230
jobs_unexp 0.362780 5.599206 0.065 0.949
Residual standard error: 0.06733 on 53 degrees of freedom
Multiple R-Squared: 0.1019, Adjusted R-squared: -0.06759
F-statistic: 0.6011 on 10 and 53 DF, p-value: 0.8057
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.72244 0.42110 -1.716 0.092079 .
capital.l1 -0.46780 0.12498 -3.743 0.000449 ***
const -0.06564 0.07330 -0.895 0.374599
ten_two 0.03545 0.03125 1.135 0.261668
ten_two_unexp 0.25527 0.11793 2.165 0.034940 *
ten -0.68656 0.54392 -1.262 0.212387
ten_unexp 0.24903 0.58882 0.423 0.674060
cpi 16.86378 6.94897 2.427 0.018666 *
cpi_unexp -16.81888 6.43894 -2.612 0.011683 *
jobs -2.59137 7.38817 -0.351 0.727170
jobs_unexp 23.37991 15.36965 1.521 0.134160
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.1848 on 53 degrees of freedom
Multiple R-Squared: 0.3207, Adjusted R-squared: 0.1925
F-statistic: 2.502 on 10 and 53 DF, p-value: 0.0153
Covariance matrix of residuals:
loans capital
loans 0.004533 -0.00295
capital -0.002950 0.03416
Correlation matrix of residuals:
loans capital
loans 1.000 -0.237
capital -0.237 1.000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 64
Log Likelihood: 221.107
Roots of the characteristic polynomial:
0.195 0.1125
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.119161 0.180110 0.662 0.5111
capital.l1 0.098851 0.283658 0.348 0.7289
const 0.004976 0.031237 0.159 0.8740
ten_two 0.002267 0.012331 0.184 0.8548
ten_two_unexp -0.049216 0.047806 -1.029 0.3079
ten 0.403375 0.221191 1.824 0.0738 .
ten_unexp -0.374199 0.238422 -1.569 0.1225
cpi 3.134342 2.833782 1.106 0.2737
cpi_unexp -3.494310 2.619584 -1.334 0.1879
jobs 1.438817 3.043118 0.473 0.6383
jobs_unexp -0.981171 6.146827 -0.160 0.8738
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.07375 on 53 degrees of freedom
Multiple R-Squared: 0.1484, Adjusted R-squared: -0.01224
F-statistic: 0.9238 on 10 and 53 DF, p-value: 0.519
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.177731 0.102686 1.731 0.0893 .
capital.l1 -0.036621 0.161722 -0.226 0.8217
const 0.008069 0.017809 0.453 0.6524
ten_two 0.004798 0.007030 0.682 0.4979
ten_two_unexp -0.051488 0.027256 -1.889 0.0644 .
ten 0.048668 0.126108 0.386 0.7011
ten_unexp -0.057096 0.135931 -0.420 0.6762
cpi 3.615011 1.615622 2.238 0.0295 *
cpi_unexp -6.604079 1.493501 -4.422 4.89e-05 ***
jobs -3.067221 1.734970 -1.768 0.0828 .
jobs_unexp 1.434982 3.504486 0.409 0.6838
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.04205 on 53 degrees of freedom
Multiple R-Squared: 0.427, Adjusted R-squared: 0.3189
F-statistic: 3.95 on 10 and 53 DF, p-value: 0.0004667
Covariance matrix of residuals:
loans capital
loans 0.005439 0.002151
capital 0.002151 0.001768
Correlation matrix of residuals:
loans capital
loans 1.0000 0.6936
capital 0.6936 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 64
Log Likelihood: 275.928
Roots of the characteristic polynomial:
0.1247 0.0177
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.0233385 0.1211917 -0.193 0.84803
capital.l1 0.0426508 0.1560371 0.273 0.78566
const 0.0166934 0.0130337 1.281 0.20584
ten_two -0.0007903 0.0056241 -0.141 0.88878
ten_two_unexp -0.0062930 0.0207003 -0.304 0.76232
ten 0.0085577 0.0964796 0.089 0.92965
ten_unexp -0.0191836 0.1054504 -0.182 0.85634
cpi -2.1115986 1.2557171 -1.682 0.09853 .
cpi_unexp 3.4326779 1.1957055 2.871 0.00587 **
jobs 2.5548699 1.3219392 1.933 0.05863 .
jobs_unexp -3.2091831 2.7273596 -1.177 0.24459
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.03278 on 53 degrees of freedom
Multiple R-Squared: 0.1901, Adjusted R-squared: 0.03729
F-statistic: 1.244 on 10 and 53 DF, p-value: 0.2858
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.013399 0.107077 0.125 0.9009
capital.l1 -0.119104 0.137864 -0.864 0.3915
const -0.001100 0.011516 -0.096 0.9243
ten_two 0.005651 0.004969 1.137 0.2606
ten_two_unexp 0.008966 0.018289 0.490 0.6260
ten 0.159572 0.085243 1.872 0.0667 .
ten_unexp -0.186720 0.093169 -2.004 0.0502 .
cpi 0.081350 1.109465 0.073 0.9418
cpi_unexp 1.254823 1.056443 1.188 0.2402
jobs -0.817423 1.167975 -0.700 0.4871
jobs_unexp -0.905362 2.409707 -0.376 0.7086
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.02896 on 53 degrees of freedom
Multiple R-Squared: 0.217, Adjusted R-squared: 0.06921
F-statistic: 1.468 on 10 and 53 DF, p-value: 0.1774
Covariance matrix of residuals:
loans capital
loans 1.075e-03 -4.394e-05
capital -4.394e-05 8.389e-04
Correlation matrix of residuals:
loans capital
loans 1.00000 -0.04628
capital -0.04628 1.00000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 56
Log Likelihood: 379.454
Roots of the characteristic polynomial:
0.9772 0.9772 0.9603 0.9531 0.9531 0.9511 0.9511 0.8885 0.8885 0.8549 0.8549 0.8298 0.8298 0.8223 0.8223 0.81 0.81 0.1922
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.021929 0.182403 -0.120 0.9051
capital.l1 0.488554 0.415343 1.176 0.2491
loans.l2 0.072213 0.174035 0.415 0.6812
capital.l2 0.648839 0.392921 1.651 0.1095
loans.l3 -0.179713 0.151288 -1.188 0.2445
capital.l3 0.303697 0.361027 0.841 0.4071
loans.l4 0.014618 0.160508 0.091 0.9281
capital.l4 -0.369906 0.384787 -0.961 0.3443
loans.l5 0.176137 0.167168 1.054 0.3007
capital.l5 -0.019668 0.379115 -0.052 0.9590
loans.l6 -0.165715 0.137979 -1.201 0.2395
capital.l6 0.379691 0.360164 1.054 0.3005
loans.l7 0.011564 0.153010 0.076 0.9403
capital.l7 0.156145 0.351607 0.444 0.6603
loans.l8 0.107883 0.149019 0.724 0.4749
capital.l8 0.213306 0.370256 0.576 0.5690
loans.l9 0.104218 0.173976 0.599 0.5538
capital.l9 0.344474 0.447325 0.770 0.4475
const -0.037367 0.020134 -1.856 0.0737 .
ten_two 0.012590 0.006024 2.090 0.0455 *
ten_two_unexp -0.014676 0.014583 -1.006 0.3226
ten 0.130917 0.064629 2.026 0.0521 .
ten_unexp -0.080120 0.070435 -1.138 0.2646
cpi -0.780498 0.852246 -0.916 0.3673
cpi_unexp 0.964095 0.793336 1.215 0.2341
jobs -0.518545 0.987350 -0.525 0.6034
jobs_unexp -1.523552 2.113876 -0.721 0.4768
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.01779 on 29 degrees of freedom
Multiple R-Squared: 0.6523, Adjusted R-squared: 0.3406
F-statistic: 2.093 on 26 and 29 DF, p-value: 0.0278
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.015778 0.074686 0.211 0.834165
capital.l1 -0.242425 0.170066 -1.425 0.164695
loans.l2 -0.076474 0.071260 -1.073 0.292046
capital.l2 0.351670 0.160884 2.186 0.037047 *
loans.l3 -0.094283 0.061946 -1.522 0.138835
capital.l3 0.385551 0.147825 2.608 0.014238 *
loans.l4 -0.100625 0.065721 -1.531 0.136583
capital.l4 0.405446 0.157554 2.573 0.015450 *
loans.l5 -0.010396 0.068448 -0.152 0.880337
capital.l5 -0.101466 0.155232 -0.654 0.518492
loans.l6 0.093949 0.056497 1.663 0.107103
capital.l6 0.024515 0.147472 0.166 0.869123
loans.l7 0.064173 0.062651 1.024 0.314164
capital.l7 -0.086624 0.143968 -0.602 0.552055
loans.l8 -0.223699 0.061017 -3.666 0.000982 ***
capital.l8 0.338827 0.151604 2.235 0.033288 *
loans.l9 0.053682 0.071236 0.754 0.457173
capital.l9 0.422393 0.183161 2.306 0.028447 *
const -0.018994 0.008244 -2.304 0.028580 *
ten_two 0.006300 0.002466 2.554 0.016162 *
ten_two_unexp -0.007589 0.005971 -1.271 0.213860
ten -0.016425 0.026463 -0.621 0.539648
ten_unexp 0.016168 0.028840 0.561 0.579358
cpi 0.531986 0.348959 1.524 0.138218
cpi_unexp -0.030669 0.324837 -0.094 0.925430
jobs 0.782462 0.404278 1.935 0.062739 .
jobs_unexp -0.343144 0.865543 -0.396 0.694675
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.007286 on 29 degrees of freedom
Multiple R-Squared: 0.7856, Adjusted R-squared: 0.5933
F-statistic: 4.086 on 26 and 29 DF, p-value: 0.0001818
Covariance matrix of residuals:
loans capital
loans 3.167e-04 1.313e-05
capital 1.313e-05 5.309e-05
Correlation matrix of residuals:
loans capital
loans 1.0000 0.1012
capital 0.1012 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 55
Log Likelihood: 232.519
Roots of the characteristic polynomial:
0.9261 0.9261 0.9051 0.9051 0.8711 0.8711 0.8567 0.8567 0.8233 0.8233 0.8132 0.8008 0.8008 0.7037 0.7037 0.7008 0.7008 0.1715
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.4247746 0.1736791 2.446 0.0210 *
capital.l1 0.0610183 0.1141184 0.535 0.5971
loans.l2 -0.2055793 0.1626559 -1.264 0.2167
capital.l2 -0.0331068 0.1413207 -0.234 0.8165
loans.l3 0.1693200 0.1243283 1.362 0.1841
capital.l3 0.0239591 0.1189393 0.201 0.8418
loans.l4 -0.0512558 0.0984527 -0.521 0.6067
capital.l4 -0.0824505 0.1070318 -0.770 0.4476
loans.l5 0.0568595 0.0934219 0.609 0.5477
capital.l5 -0.0171725 0.1140522 -0.151 0.8814
loans.l6 0.0433621 0.0940166 0.461 0.6482
capital.l6 -0.0050752 0.1173884 -0.043 0.9658
loans.l7 -0.1463112 0.1006663 -1.453 0.1572
capital.l7 0.0125930 0.1166541 0.108 0.9148
loans.l8 0.2194361 0.0963403 2.278 0.0306 *
capital.l8 -0.1712977 0.1121254 -1.528 0.1378
loans.l9 -0.0775626 0.0410248 -1.891 0.0691 .
capital.l9 0.0157309 0.1087820 0.145 0.8861
const -0.0004416 0.0341171 -0.013 0.9898
ten_two 0.0060754 0.0097259 0.625 0.5373
ten_two_unexp -0.0484746 0.0343221 -1.412 0.1689
ten 0.0032172 0.1368649 0.024 0.9814
ten_unexp 0.0999150 0.1548994 0.645 0.5242
cpi 2.5507432 1.8094731 1.410 0.1697
cpi_unexp -2.6267881 1.6832633 -1.561 0.1299
jobs -0.6939575 2.4150025 -0.287 0.7760
jobs_unexp -5.1166284 4.4394449 -1.153 0.2588
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.03387 on 28 degrees of freedom
Multiple R-Squared: 0.571, Adjusted R-squared: 0.1727
F-statistic: 1.433 on 26 and 28 DF, p-value: 0.176
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.346089 0.254231 -1.361 0.1843
capital.l1 0.082811 0.167046 0.496 0.6239
loans.l2 0.539265 0.238095 2.265 0.0314 *
capital.l2 0.401954 0.206865 1.943 0.0621 .
loans.l3 0.169515 0.181992 0.931 0.3596
capital.l3 -0.178056 0.174103 -1.023 0.3152
loans.l4 0.082443 0.144115 0.572 0.5718
capital.l4 -0.383212 0.156673 -2.446 0.0210 *
loans.l5 -0.103645 0.136751 -0.758 0.4548
capital.l5 0.075268 0.166949 0.451 0.6556
loans.l6 -0.067000 0.137621 -0.487 0.6302
capital.l6 0.071443 0.171833 0.416 0.6807
loans.l7 0.035590 0.147355 0.242 0.8109
capital.l7 0.028904 0.170758 0.169 0.8668
loans.l8 -0.010814 0.141023 -0.077 0.9394
capital.l8 0.147966 0.164129 0.902 0.3750
loans.l9 -0.093681 0.060052 -1.560 0.1300
capital.l9 -0.055384 0.159235 -0.348 0.7306
const 0.023732 0.049940 0.475 0.6383
ten_two -0.014320 0.014237 -1.006 0.3231
ten_two_unexp 0.000132 0.050241 0.003 0.9979
ten 0.085591 0.200343 0.427 0.6725
ten_unexp -0.029764 0.226742 -0.131 0.8965
cpi 3.392043 2.648703 1.281 0.2108
cpi_unexp 0.314860 2.463958 0.128 0.8992
jobs -0.406518 3.535076 -0.115 0.9093
jobs_unexp -4.939233 6.498451 -0.760 0.4536
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.04958 on 28 degrees of freedom
Multiple R-Squared: 0.5963, Adjusted R-squared: 0.2215
F-statistic: 1.591 on 26 and 28 DF, p-value: 0.1156
Covariance matrix of residuals:
loans capital
loans 1.147e-03 -7.518e-05
capital -7.518e-05 2.458e-03
Correlation matrix of residuals:
loans capital
loans 1.00000 -0.04477
capital -0.04477 1.00000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 61
Log Likelihood: 316.85
Roots of the characteristic polynomial:
0.6857 0.6533 0.6533 0.645 0.5578 0.5578 0.3302 0.02959
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.283243 0.143556 1.973 0.0548 .
capital.l1 0.282206 0.131538 2.145 0.0375 *
loans.l2 -0.214414 0.141206 -1.518 0.1361
capital.l2 0.151479 0.134773 1.124 0.2671
loans.l3 -0.037123 0.145572 -0.255 0.7999
capital.l3 -0.085117 0.143065 -0.595 0.5549
loans.l4 0.035463 0.131655 0.269 0.7889
capital.l4 0.119682 0.138435 0.865 0.3920
const -0.010468 0.010430 -1.004 0.3210
ten_two 0.003972 0.003875 1.025 0.3109
ten_two_unexp -0.014318 0.015642 -0.915 0.3650
ten -0.056836 0.071694 -0.793 0.4322
ten_unexp 0.069912 0.075204 0.930 0.3576
cpi 0.227863 0.964484 0.236 0.8143
cpi_unexp -0.127586 0.896443 -0.142 0.8875
jobs 0.375904 1.252113 0.300 0.7654
jobs_unexp -5.044308 2.396060 -2.105 0.0410 *
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.02253 on 44 degrees of freedom
Multiple R-Squared: 0.4484, Adjusted R-squared: 0.2479
F-statistic: 2.236 on 16 and 44 DF, p-value: 0.01792
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.069946 0.128542 0.544 0.5891
capital.l1 -0.096111 0.117781 -0.816 0.4189
loans.l2 0.156965 0.126437 1.241 0.2210
capital.l2 0.028040 0.120677 0.232 0.8173
loans.l3 0.117607 0.130347 0.902 0.3718
capital.l3 -0.156086 0.128102 -1.218 0.2295
loans.l4 0.025963 0.117885 0.220 0.8267
capital.l4 0.071438 0.123957 0.576 0.5673
const 0.016844 0.009339 1.804 0.0781 .
ten_two -0.006013 0.003470 -1.733 0.0901 .
ten_two_unexp 0.009963 0.014006 0.711 0.4806
ten 0.014052 0.064196 0.219 0.8277
ten_unexp -0.001353 0.067339 -0.020 0.9841
cpi 0.757909 0.863611 0.878 0.3849
cpi_unexp 0.176996 0.802685 0.221 0.8265
jobs -1.101176 1.121157 -0.982 0.3314
jobs_unexp -1.613351 2.145460 -0.752 0.4561
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.02017 on 44 degrees of freedom
Multiple R-Squared: 0.3624, Adjusted R-squared: 0.1305
F-statistic: 1.563 on 16 and 44 DF, p-value: 0.1209
Covariance matrix of residuals:
loans capital
loans 5.075e-04 6.041e-05
capital 6.041e-05 4.069e-04
Correlation matrix of residuals:
loans capital
loans 1.0000 0.1329
capital 0.1329 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 23
Log Likelihood: 100.649
Roots of the characteristic polynomial:
0.8688 0.8688 0.693 0.693 0.6886 0.6886 0.6153 0.4599
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.256044 0.357550 -0.716 0.5008
capital.l1 0.055515 0.182549 0.304 0.7713
loans.l2 -0.900005 0.433508 -2.076 0.0832 .
capital.l2 0.192192 0.156582 1.227 0.2656
loans.l3 -0.350570 0.451091 -0.777 0.4666
capital.l3 0.371788 0.249099 1.493 0.1862
loans.l4 -0.200259 0.450747 -0.444 0.6724
capital.l4 0.032517 0.155473 0.209 0.8413
const -0.027857 0.098563 -0.283 0.7870
ten_two -0.002169 0.029820 -0.073 0.9444
ten_two_unexp -0.095310 0.107614 -0.886 0.4099
ten 0.397944 0.328655 1.211 0.2715
ten_unexp -0.232964 0.264681 -0.880 0.4126
cpi -10.761278 6.671833 -1.613 0.1579
cpi_unexp 14.850592 8.024837 1.851 0.1137
jobs 7.615761 18.204648 0.418 0.6903
jobs_unexp -5.570568 14.415744 -0.386 0.7125
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.03421 on 6 degrees of freedom
Multiple R-Squared: 0.5786, Adjusted R-squared: -0.5451
F-statistic: 0.5149 on 16 and 6 DF, p-value: 0.8648
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.90970 0.94502 -0.963 0.373
capital.l1 0.04309 0.48248 0.089 0.932
loans.l2 -0.77057 1.14577 -0.673 0.526
capital.l2 0.30093 0.41385 0.727 0.495
loans.l3 -1.19744 1.19225 -1.004 0.354
capital.l3 0.44727 0.65838 0.679 0.522
loans.l4 -0.25214 1.19134 -0.212 0.839
capital.l4 0.28377 0.41092 0.691 0.516
const 0.06537 0.26050 0.251 0.810
ten_two -0.04046 0.07882 -0.513 0.626
ten_two_unexp -0.09074 0.28443 -0.319 0.761
ten 0.68354 0.86864 0.787 0.461
ten_unexp -0.17159 0.69956 -0.245 0.814
cpi -5.14364 17.63385 -0.292 0.780
cpi_unexp -0.09314 21.20988 -0.004 0.997
jobs -16.87267 48.11541 -0.351 0.738
jobs_unexp -2.60397 38.10123 -0.068 0.948
Residual standard error: 0.09042 on 6 degrees of freedom
Multiple R-Squared: 0.5836, Adjusted R-squared: -0.5266
F-statistic: 0.5257 on 16 and 6 DF, p-value: 0.8577
Covariance matrix of residuals:
loans capital
loans 0.001170 0.001266
capital 0.001266 0.008176
Correlation matrix of residuals:
loans capital
loans 1.0000 0.4093
capital 0.4093 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 64
Log Likelihood: 113.46
Roots of the characteristic polynomial:
0.1432 0.1051
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.077767 0.137390 0.566 0.574
capital.l1 -0.018830 0.053645 -0.351 0.727
const -0.011511 0.026434 -0.435 0.665
ten_two 0.007334 0.011190 0.655 0.515
ten_two_unexp 0.035849 0.041762 0.858 0.395
ten 0.103494 0.195739 0.529 0.599
ten_unexp 0.036621 0.212725 0.172 0.864
cpi -0.034989 2.534539 -0.014 0.989
cpi_unexp 0.605609 2.343094 0.258 0.797
jobs 2.463533 2.643801 0.932 0.356
jobs_unexp -8.109532 5.688237 -1.426 0.160
Residual standard error: 0.06653 on 53 degrees of freedom
Multiple R-Squared: 0.1337, Adjusted R-squared: -0.02981
F-statistic: 0.8177 on 10 and 53 DF, p-value: 0.6131
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.32022 0.37833 -0.846 0.401
capital.l1 -0.11586 0.14772 -0.784 0.436
const 0.05555 0.07279 0.763 0.449
ten_two -0.02997 0.03082 -0.973 0.335
ten_two_unexp 0.04118 0.11500 0.358 0.722
ten 0.03397 0.53901 0.063 0.950
ten_unexp -0.11121 0.58579 -0.190 0.850
cpi 6.52555 6.97943 0.935 0.354
cpi_unexp -5.22390 6.45224 -0.810 0.422
jobs -0.27599 7.28031 -0.038 0.970
jobs_unexp 13.16819 15.66386 0.841 0.404
Residual standard error: 0.1832 on 53 degrees of freedom
Multiple R-Squared: 0.07622, Adjusted R-squared: -0.09808
F-statistic: 0.4373 on 10 and 53 DF, p-value: 0.9213
Covariance matrix of residuals:
loans capital
loans 0.004426 -0.002086
capital -0.002086 0.033564
Correlation matrix of residuals:
loans capital
loans 1.0000 -0.1711
capital -0.1711 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 64
Log Likelihood: 185.032
Roots of the characteristic polynomial:
0.155 0.08062
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.119987 0.138767 0.865 0.391
capital.l1 -0.068814 0.112905 -0.609 0.545
const 0.019298 0.023316 0.828 0.412
ten_two 0.007950 0.009972 0.797 0.429
ten_two_unexp 0.044731 0.039149 1.143 0.258
ten -0.105649 0.171615 -0.616 0.541
ten_unexp 0.091606 0.187321 0.489 0.627
cpi -0.178674 2.200745 -0.081 0.936
cpi_unexp 0.568139 1.994918 0.285 0.777
jobs -2.665878 2.363893 -1.128 0.265
jobs_unexp 0.871958 4.831580 0.180 0.857
Residual standard error: 0.05821 on 53 degrees of freedom
Multiple R-Squared: 0.1736, Adjusted R-squared: 0.01769
F-statistic: 1.113 on 10 and 53 DF, p-value: 0.3698
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.1573224 0.1663458 0.946 0.3486
capital.l1 -0.1944070 0.1353449 -1.436 0.1568
const 0.0030240 0.0279501 0.108 0.9143
ten_two -0.0008704 0.0119536 -0.073 0.9422
ten_two_unexp 0.0645337 0.0469303 1.375 0.1749
ten -0.3495537 0.2057230 -1.699 0.0952 .
ten_unexp 0.2038131 0.2245505 0.908 0.3682
cpi 5.2974204 2.6381338 2.008 0.0498 *
cpi_unexp -3.4304321 2.3913990 -1.434 0.1573
jobs 0.8937379 2.8337068 0.315 0.7537
jobs_unexp 0.2693395 5.7918354 0.047 0.9631
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.06978 on 53 degrees of freedom
Multiple R-Squared: 0.2065, Adjusted R-squared: 0.05678
F-statistic: 1.379 on 10 and 53 DF, p-value: 0.2154
Covariance matrix of residuals:
loans capital
loans 0.003388 -0.001045
capital -0.001045 0.004869
Correlation matrix of residuals:
loans capital
loans 1.0000 -0.2572
capital -0.2572 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 63
Log Likelihood: 240.023
Roots of the characteristic polynomial:
0.339 0.339 0.3255 0.1561
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.196564 0.141186 1.392 0.17001
capital.l1 -0.032972 0.126450 -0.261 0.79536
loans.l2 0.081370 0.136307 0.597 0.55323
capital.l2 -0.018364 0.081975 -0.224 0.82365
const 0.060557 0.020509 2.953 0.00479 **
ten_two -0.012451 0.007057 -1.764 0.08379 .
ten_two_unexp -0.036720 0.025463 -1.442 0.15552
ten -0.075846 0.115463 -0.657 0.51427
ten_unexp 0.078016 0.126938 0.615 0.54161
cpi -0.612756 1.435001 -0.427 0.67121
cpi_unexp 0.567554 1.310472 0.433 0.66681
jobs -3.398739 1.652871 -2.056 0.04500 *
jobs_unexp 3.174453 3.349787 0.948 0.34786
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.03816 on 50 degrees of freedom
Multiple R-Squared: 0.2686, Adjusted R-squared: 0.09309
F-statistic: 1.53 on 12 and 50 DF, p-value: 0.1447
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.079807 0.158585 -0.503 0.6170
capital.l1 0.049299 0.142033 0.347 0.7300
loans.l2 0.352731 0.153105 2.304 0.0254 *
capital.l2 -0.151383 0.092077 -1.644 0.1064
const 0.029924 0.023036 1.299 0.1999
ten_two -0.004567 0.007927 -0.576 0.5671
ten_two_unexp -0.007594 0.028601 -0.266 0.7917
ten -0.208031 0.129692 -1.604 0.1150
ten_unexp 0.222655 0.142581 1.562 0.1247
cpi 1.201103 1.611843 0.745 0.4597
cpi_unexp -3.106288 1.471968 -2.110 0.0399 *
jobs -1.301010 1.856562 -0.701 0.4867
jobs_unexp 1.051985 3.762597 0.280 0.7809
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.04286 on 50 degrees of freedom
Multiple R-Squared: 0.2452, Adjusted R-squared: 0.06406
F-statistic: 1.354 on 12 and 50 DF, p-value: 0.2198
Covariance matrix of residuals:
loans capital
loans 1.456e-03 -7.444e-05
capital -7.444e-05 1.837e-03
Correlation matrix of residuals:
loans capital
loans 1.00000 -0.04551
capital -0.04551 1.00000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 20
Log Likelihood: 36.742
Roots of the characteristic polynomial:
0.1838 0.1838
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.24236 0.30935 -0.783 0.4535
capital.l1 -0.09686 0.13613 -0.712 0.4948
const -0.35421 0.23103 -1.533 0.1596
ten_two 0.10315 0.05478 1.883 0.0924 .
ten_two_unexp -0.17351 0.22117 -0.785 0.4529
ten -0.74149 0.66808 -1.110 0.2958
ten_unexp 0.50794 0.58365 0.870 0.4068
cpi 36.04919 15.72815 2.292 0.0476 *
cpi_unexp -17.77852 13.91762 -1.277 0.2334
jobs 6.67802 46.70301 0.143 0.8894
jobs_unexp -30.19391 39.49617 -0.764 0.4642
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.08358 on 9 degrees of freedom
Multiple R-Squared: 0.6547, Adjusted R-squared: 0.271
F-statistic: 1.706 on 10 and 9 DF, p-value: 0.2173
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.037283 0.938370 0.040 0.969
capital.l1 -0.124514 0.412943 -0.302 0.770
const 0.316081 0.700795 0.451 0.663
ten_two -0.077708 0.166169 -0.468 0.651
ten_two_unexp 0.023868 0.670887 0.036 0.972
ten 0.001066 2.026543 0.001 1.000
ten_unexp 0.704962 1.770416 0.398 0.700
cpi -14.134321 47.709390 -0.296 0.774
cpi_unexp -13.391276 42.217364 -0.317 0.758
jobs -34.823914 141.667779 -0.246 0.811
jobs_unexp 49.073341 119.806748 0.410 0.692
Residual standard error: 0.2535 on 9 degrees of freedom
Multiple R-Squared: 0.1731, Adjusted R-squared: -0.7456
F-statistic: 0.1884 on 10 and 9 DF, p-value: 0.9923
Covariance matrix of residuals:
loans capital
loans 0.006985 -0.00441
capital -0.004410 0.06427
Correlation matrix of residuals:
loans capital
loans 1.0000 -0.2081
capital -0.2081 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 64
Log Likelihood: 194.498
Roots of the characteristic polynomial:
0.2002 0.1499
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.218409 0.151364 1.443 0.155
capital.l1 0.178300 0.198999 0.896 0.374
const -0.007301 0.029138 -0.251 0.803
ten_two 0.005871 0.012105 0.485 0.630
ten_two_unexp -0.029533 0.046144 -0.640 0.525
ten -0.049149 0.216308 -0.227 0.821
ten_unexp 0.139996 0.237087 0.590 0.557
cpi 0.993542 2.763732 0.359 0.721
cpi_unexp -2.326141 2.472164 -0.941 0.351
jobs 1.888498 2.993373 0.631 0.531
jobs_unexp 0.855600 5.981275 0.143 0.887
Residual standard error: 0.07185 on 53 degrees of freedom
Multiple R-Squared: 0.1388, Adjusted R-squared: -0.02372
F-statistic: 0.854 on 10 and 53 DF, p-value: 0.5803
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.007007 0.106107 -0.066 0.947595
capital.l1 0.131686 0.139500 0.944 0.349459
const 0.001445 0.020426 0.071 0.943880
ten_two 0.009538 0.008486 1.124 0.266099
ten_two_unexp 0.017797 0.032347 0.550 0.584508
ten 0.134041 0.151634 0.884 0.380699
ten_unexp -0.240054 0.166200 -1.444 0.154521
cpi -4.371241 1.937402 -2.256 0.028206 *
cpi_unexp 4.418371 1.733010 2.550 0.013716 *
jobs 7.484428 2.098382 3.567 0.000776 ***
jobs_unexp -11.420947 4.192929 -2.724 0.008719 **
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.05037 on 53 degrees of freedom
Multiple R-Squared: 0.2838, Adjusted R-squared: 0.1487
F-statistic: 2.101 on 10 and 53 DF, p-value: 0.04066
Covariance matrix of residuals:
loans capital
loans 0.005162 -0.001279
capital -0.001279 0.002537
Correlation matrix of residuals:
loans capital
loans 1.0000 -0.3535
capital -0.3535 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 64
Log Likelihood: 303.234
Roots of the characteristic polynomial:
0.1631 0.01534
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.049935 0.129636 0.385 0.7016
capital.l1 0.087187 0.139265 0.626 0.5340
const -0.001850 0.010808 -0.171 0.8647
ten_two 0.002025 0.004524 0.448 0.6563
ten_two_unexp 0.035712 0.016496 2.165 0.0349 *
ten -0.091514 0.077382 -1.183 0.2422
ten_unexp 0.028141 0.083028 0.339 0.7360
cpi 1.841688 1.007546 1.828 0.0732 .
cpi_unexp -1.158928 0.941718 -1.231 0.2239
jobs -0.521631 1.078560 -0.484 0.6306
jobs_unexp 1.244610 2.218019 0.561 0.5771
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.02633 on 53 degrees of freedom
Multiple R-Squared: 0.1792, Adjusted R-squared: 0.02435
F-statistic: 1.157 on 10 and 53 DF, p-value: 0.3399
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -8.452e-02 1.161e-01 -0.728 0.469820
capital.l1 -1.977e-01 1.247e-01 -1.585 0.118974
const 2.166e-02 9.679e-03 2.238 0.029443 *
ten_two -3.035e-05 4.052e-03 -0.007 0.994053
ten_two_unexp -9.739e-03 1.477e-02 -0.659 0.512610
ten 3.378e-02 6.930e-02 0.487 0.627944
ten_unexp -5.077e-02 7.436e-02 -0.683 0.497704
cpi 2.787e-01 9.023e-01 0.309 0.758632
cpi_unexp 3.358e-01 8.434e-01 0.398 0.692095
jobs -3.593e+00 9.659e-01 -3.720 0.000483 ***
jobs_unexp 3.398e+00 1.986e+00 1.711 0.093016 .
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.02358 on 53 degrees of freedom
Multiple R-Squared: 0.2694, Adjusted R-squared: 0.1315
F-statistic: 1.954 on 10 and 53 DF, p-value: 0.05782
Covariance matrix of residuals:
loans capital
loans 6.933e-04 -4.797e-05
capital -4.797e-05 5.561e-04
Correlation matrix of residuals:
loans capital
loans 1.00000 -0.07726
capital -0.07726 1.00000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 55
Log Likelihood: 248.497
Roots of the characteristic polynomial:
0.9738 0.9738 0.928 0.928 0.922 0.922 0.907 0.907 0.9059 0.9059 0.9058 0.9058 0.9009 0.9009 0.8908 0.8908 0.8536 0.8536 0.7359 0.3403
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.02108 0.16991 0.124 0.9022
capital.l1 0.46808 0.26516 1.765 0.0893 .
loans.l2 -0.19385 0.14113 -1.374 0.1813
capital.l2 0.33278 0.23522 1.415 0.1690
loans.l3 -0.07847 0.16924 -0.464 0.6468
capital.l3 0.42964 0.21174 2.029 0.0528 .
loans.l4 0.09581 0.16556 0.579 0.5678
capital.l4 0.10517 0.20520 0.513 0.6126
loans.l5 0.10510 0.15611 0.673 0.5067
capital.l5 0.45297 0.20604 2.198 0.0370 *
loans.l6 -0.20651 0.14407 -1.433 0.1637
capital.l6 0.17766 0.21543 0.825 0.4171
loans.l7 -0.09325 0.15265 -0.611 0.5466
capital.l7 0.20629 0.20937 0.985 0.3335
loans.l8 0.11836 0.14891 0.795 0.4339
capital.l8 0.10074 0.20248 0.498 0.6230
loans.l9 -0.20836 0.14446 -1.442 0.1612
capital.l9 -0.48183 0.19306 -2.496 0.0192 *
loans.l10 0.19294 0.16092 1.199 0.2414
capital.l10 -0.15956 0.21419 -0.745 0.4630
const 0.01094 0.02417 0.453 0.6546
ten_two -0.02120 0.01146 -1.850 0.0757 .
ten_two_unexp 0.06093 0.03734 1.632 0.1148
ten 0.09821 0.15336 0.640 0.5275
ten_unexp -0.17444 0.15574 -1.120 0.2729
cpi 2.39415 1.96898 1.216 0.2349
cpi_unexp -1.29474 2.04151 -0.634 0.5315
jobs 0.22124 2.13840 0.103 0.9184
jobs_unexp 0.82698 4.77596 0.173 0.8639
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.04209 on 26 degrees of freedom
Multiple R-Squared: 0.6423, Adjusted R-squared: 0.2571
F-statistic: 1.667 on 28 and 26 DF, p-value: 0.09693
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.164784 0.130330 1.264 0.2173
capital.l1 0.266530 0.203397 1.310 0.2015
loans.l2 -0.077491 0.108255 -0.716 0.4805
capital.l2 -0.334364 0.180430 -1.853 0.0752 .
loans.l3 -0.142755 0.129822 -1.100 0.2816
capital.l3 -0.063983 0.162419 -0.394 0.6968
loans.l4 0.127175 0.126999 1.001 0.3259
capital.l4 -0.197541 0.157402 -1.255 0.2206
loans.l5 -0.094114 0.119751 -0.786 0.4390
capital.l5 -0.127654 0.158046 -0.808 0.4266
loans.l6 0.072631 0.110515 0.657 0.5168
capital.l6 0.049308 0.165251 0.298 0.7678
loans.l7 0.007460 0.117092 0.064 0.9497
capital.l7 -0.237171 0.160600 -1.477 0.1517
loans.l8 0.102329 0.114224 0.896 0.3785
capital.l8 0.051739 0.155321 0.333 0.7417
loans.l9 -0.216649 0.110813 -1.955 0.0614 .
capital.l9 -0.383009 0.148089 -2.586 0.0157 *
loans.l10 0.027084 0.123438 0.219 0.8280
capital.l10 0.211873 0.164303 1.290 0.2086
const 0.009501 0.018543 0.512 0.6127
ten_two 0.015679 0.008790 1.784 0.0861 .
ten_two_unexp -0.025163 0.028643 -0.879 0.3877
ten 0.103014 0.117636 0.876 0.3892
ten_unexp -0.071301 0.119461 -0.597 0.5558
cpi -1.718713 1.510352 -1.138 0.2655
cpi_unexp -0.639673 1.565987 -0.408 0.6863
jobs 0.945511 1.640309 0.576 0.5693
jobs_unexp -6.353999 3.663518 -1.734 0.0947 .
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.03229 on 26 degrees of freedom
Multiple R-Squared: 0.5721, Adjusted R-squared: 0.1113
F-statistic: 1.242 on 28 and 26 DF, p-value: 0.291
Covariance matrix of residuals:
loans capital
loans 0.0017719 -0.0001472
capital -0.0001472 0.0010426
Correlation matrix of residuals:
loans capital
loans 1.0000 -0.1083
capital -0.1083 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 59
Log Likelihood: 193.396
Roots of the characteristic polynomial:
0.9198 0.8993 0.8993 0.8845 0.8474 0.8474 0.8278 0.8278 0.7885 0.7885 0.7411 0.7411
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.2631793 0.2232499 1.179 0.2458
capital.l1 -0.2218605 0.2428846 -0.913 0.3668
loans.l2 0.3129330 0.2121576 1.475 0.1484
capital.l2 -0.4747306 0.2470744 -1.921 0.0622 .
loans.l3 0.0973881 0.2259817 0.431 0.6689
capital.l3 -0.0448928 0.2892839 -0.155 0.8775
loans.l4 -0.3117668 0.2132690 -1.462 0.1520
capital.l4 0.7704904 0.2490736 3.093 0.0037 **
loans.l5 0.1916777 0.2449026 0.783 0.4387
capital.l5 -0.2358502 0.2628985 -0.897 0.3753
loans.l6 -0.4735043 0.2145108 -2.207 0.0334 *
capital.l6 0.7000923 0.2597237 2.696 0.0104 *
const -0.0003381 0.0578219 -0.006 0.9954
ten_two 0.0089526 0.0169804 0.527 0.6011
ten_two_unexp 0.0130184 0.0543849 0.239 0.8121
ten 0.2131149 0.2670897 0.798 0.4299
ten_unexp -0.1939430 0.2921069 -0.664 0.5107
cpi -0.8799810 3.5296221 -0.249 0.8045
cpi_unexp 1.6025025 3.3816445 0.474 0.6383
jobs 0.9541516 5.9261008 0.161 0.8729
jobs_unexp -5.9007098 8.7326435 -0.676 0.5033
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.07479 on 38 degrees of freedom
Multiple R-Squared: 0.5322, Adjusted R-squared: 0.286
F-statistic: 2.161 on 20 and 38 DF, p-value: 0.02007
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 1.767e-01 1.807e-01 0.978 0.33430
capital.l1 -3.664e-01 1.966e-01 -1.864 0.07006 .
loans.l2 5.195e-01 1.717e-01 3.026 0.00443 **
capital.l2 -6.729e-01 2.000e-01 -3.365 0.00176 **
loans.l3 3.282e-01 1.829e-01 1.795 0.08067 .
capital.l3 -3.357e-01 2.341e-01 -1.434 0.15972
loans.l4 -1.069e-01 1.726e-01 -0.619 0.53954
capital.l4 4.637e-01 2.016e-01 2.301 0.02700 *
loans.l5 7.644e-04 1.982e-01 0.004 0.99694
capital.l5 6.949e-02 2.128e-01 0.327 0.74576
loans.l6 -1.872e-01 1.736e-01 -1.078 0.28780
capital.l6 5.103e-01 2.102e-01 2.428 0.02004 *
const 4.220e-02 4.680e-02 0.902 0.37287
ten_two -9.266e-03 1.374e-02 -0.674 0.50423
ten_two_unexp -4.816e-02 4.401e-02 -1.094 0.28079
ten -1.751e-01 2.162e-01 -0.810 0.42282
ten_unexp 2.485e-01 2.364e-01 1.051 0.29974
cpi -8.346e-01 2.857e+00 -0.292 0.77174
cpi_unexp -3.277e+00 2.737e+00 -1.197 0.23860
jobs -3.264e+00 4.796e+00 -0.681 0.50022
jobs_unexp -1.094e+01 7.067e+00 -1.547 0.13008
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.06053 on 38 degrees of freedom
Multiple R-Squared: 0.6437, Adjusted R-squared: 0.4562
F-statistic: 3.433 on 20 and 38 DF, p-value: 0.0005245
Covariance matrix of residuals:
loans capital
loans 0.005594 0.002957
capital 0.002957 0.003664
Correlation matrix of residuals:
loans capital
loans 1.0000 0.6532
capital 0.6532 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 57
Log Likelihood: 279.003
Roots of the characteristic polynomial:
0.9297 0.9265 0.9265 0.9058 0.9058 0.9058 0.9058 0.8906 0.8563 0.8563 0.851 0.851 0.8301 0.8301 0.3557 0.3557
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.052298 0.193646 0.270 0.78884
capital.l1 -0.244967 0.263571 -0.929 0.35963
loans.l2 -0.270105 0.180909 -1.493 0.14522
capital.l2 -0.273175 0.237634 -1.150 0.25884
loans.l3 -0.249172 0.171553 -1.452 0.15611
capital.l3 -0.634282 0.224812 -2.821 0.00815 **
loans.l4 0.128859 0.179745 0.717 0.47864
capital.l4 -0.185066 0.260570 -0.710 0.48270
loans.l5 -0.094638 0.175075 -0.541 0.59255
capital.l5 -0.433330 0.240695 -1.800 0.08124 .
loans.l6 0.239006 0.170161 1.405 0.16978
capital.l6 -0.511961 0.236071 -2.169 0.03765 *
loans.l7 -0.046317 0.170797 -0.271 0.78800
capital.l7 0.055554 0.251575 0.221 0.82663
loans.l8 0.126622 0.171817 0.737 0.46652
capital.l8 -0.142222 0.240309 -0.592 0.55812
const 0.045132 0.023735 1.902 0.06627 .
ten_two 0.009170 0.007572 1.211 0.23477
ten_two_unexp 0.049311 0.027663 1.783 0.08414 .
ten 0.023191 0.136717 0.170 0.86637
ten_unexp -0.109530 0.143760 -0.762 0.45170
cpi -1.337886 1.656396 -0.808 0.42522
cpi_unexp 0.511950 1.593377 0.321 0.75007
jobs 2.050143 1.704098 1.203 0.23778
jobs_unexp 0.002961 4.065450 0.001 0.99942
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.03453 on 32 degrees of freedom
Multiple R-Squared: 0.4459, Adjusted R-squared: 0.03025
F-statistic: 1.073 on 24 and 32 DF, p-value: 0.4204
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.0445563 0.1271248 0.350 0.72827
capital.l1 -0.1831103 0.1730291 -1.058 0.29786
loans.l2 0.0323608 0.1187632 0.272 0.78700
capital.l2 0.0981588 0.1560019 0.629 0.53367
loans.l3 0.0476675 0.1126213 0.423 0.67494
capital.l3 -0.0493010 0.1475850 -0.334 0.74052
loans.l4 0.0786415 0.1179995 0.666 0.50990
capital.l4 0.2853238 0.1710590 1.668 0.10508
loans.l5 -0.0558331 0.1149333 -0.486 0.63043
capital.l5 0.0603248 0.1580118 0.382 0.70515
loans.l6 -0.0554661 0.1117078 -0.497 0.62292
capital.l6 -0.3424725 0.1549764 -2.210 0.03439 *
loans.l7 0.2030154 0.1121251 1.811 0.07960 .
capital.l7 -0.1382220 0.1651544 -0.837 0.40884
loans.l8 -0.3151866 0.1127944 -2.794 0.00871 **
capital.l8 0.1790454 0.1577585 1.135 0.26483
const 0.0225758 0.0155814 1.449 0.15710
ten_two -0.0001841 0.0049709 -0.037 0.97068
ten_two_unexp 0.0125972 0.0181602 0.694 0.49289
ten 0.0359782 0.0897524 0.401 0.69119
ten_unexp -0.1236472 0.0943757 -1.310 0.19947
cpi -0.5502833 1.0873926 -0.506 0.61628
cpi_unexp 0.0814414 1.0460221 0.078 0.93843
jobs -0.4686081 1.1187083 -0.419 0.67810
jobs_unexp 2.1105924 2.6688911 0.791 0.43488
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.02267 on 32 degrees of freedom
Multiple R-Squared: 0.6431, Adjusted R-squared: 0.3754
F-statistic: 2.402 on 24 and 32 DF, p-value: 0.0106
Covariance matrix of residuals:
loans capital
loans 1.192e-03 -5.556e-05
capital -5.556e-05 5.138e-04
Correlation matrix of residuals:
loans capital
loans 1.00000 -0.07099
capital -0.07099 1.00000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 59
Log Likelihood: 139.245
Roots of the characteristic polynomial:
0.1538 0.04199
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.15041 0.01353 11.113 7.15e-15 ***
capital.l1 -0.23818 0.10797 -2.206 0.0322 *
const 0.04954 0.03138 1.579 0.1209
ten_two 0.02228 0.01272 1.751 0.0863 .
ten_two_unexp -0.08020 0.04879 -1.644 0.1068
ten -0.15821 0.22611 -0.700 0.4875
ten_unexp 0.19668 0.24154 0.814 0.4195
cpi 0.77299 2.87914 0.268 0.7895
cpi_unexp -0.77094 2.67071 -0.289 0.7741
jobs -3.24188 3.14391 -1.031 0.3076
jobs_unexp 8.74632 6.50028 1.346 0.1848
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.07462 on 48 degrees of freedom
Multiple R-Squared: 0.7665, Adjusted R-squared: 0.7179
F-statistic: 15.76 on 10 and 48 DF, p-value: 5.104e-12
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.002712 0.016850 -0.161 0.873
capital.l1 -0.038631 0.134411 -0.287 0.775
const 0.004695 0.039060 0.120 0.905
ten_two 0.022278 0.015841 1.406 0.166
ten_two_unexp -0.041549 0.060745 -0.684 0.497
ten -0.155110 0.281497 -0.551 0.584
ten_unexp 0.068882 0.300701 0.229 0.820
cpi 0.754214 3.584374 0.210 0.834
cpi_unexp -5.388082 3.324880 -1.621 0.112
jobs 0.788785 3.913989 0.202 0.841
jobs_unexp -10.393322 8.092480 -1.284 0.205
Residual standard error: 0.0929 on 48 degrees of freedom
Multiple R-Squared: 0.28, Adjusted R-squared: 0.13
F-statistic: 1.867 on 10 and 48 DF, p-value: 0.07384
Covariance matrix of residuals:
loans capital
loans 0.005568 0.001372
capital 0.001372 0.008630
Correlation matrix of residuals:
loans capital
loans 1.0000 0.1979
capital 0.1979 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 48
Log Likelihood: 133.821
Roots of the characteristic polynomial:
0.9648 0.9648 0.9623 0.9623 0.949 0.949 0.9348 0.9348 0.9298 0.9298 0.9156 0.9156 0.9002 0.9002 0.8811 0.8811 0.8634 0.8426 0.8426 0.6359
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.402609 0.200637 2.007 0.0592 .
capital.l1 0.007303 0.059153 0.123 0.9030
loans.l2 -0.255020 0.243524 -1.047 0.3081
capital.l2 0.042034 0.056193 0.748 0.4636
loans.l3 0.208003 0.193885 1.073 0.2968
capital.l3 0.017170 0.053076 0.324 0.7498
loans.l4 -0.234659 0.206164 -1.138 0.2692
capital.l4 0.058168 0.052234 1.114 0.2793
loans.l5 0.080729 0.185107 0.436 0.6677
capital.l5 0.067648 0.055789 1.213 0.2402
loans.l6 0.019768 0.188796 0.105 0.9177
capital.l6 0.013212 0.052162 0.253 0.8028
loans.l7 -0.050429 0.152036 -0.332 0.7438
capital.l7 0.003301 0.055575 0.059 0.9533
loans.l8 0.097308 0.150232 0.648 0.5249
capital.l8 0.047461 0.052972 0.896 0.3815
loans.l9 -0.067631 0.141608 -0.478 0.6384
capital.l9 -0.043369 0.052141 -0.832 0.4159
loans.l10 0.205161 0.098099 2.091 0.0502 .
capital.l10 -0.121164 0.109495 -1.107 0.2823
const 0.023116 0.035657 0.648 0.5246
ten_two -0.014388 0.015642 -0.920 0.3692
ten_two_unexp -0.011038 0.053086 -0.208 0.8375
ten -0.249214 0.242518 -1.028 0.3170
ten_unexp 0.392270 0.274110 1.431 0.1687
cpi 0.573686 2.947666 0.195 0.8478
cpi_unexp -1.553598 2.522358 -0.616 0.5452
jobs -4.469024 3.531015 -1.266 0.2209
jobs_unexp 2.154230 6.371318 0.338 0.7390
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.05442 on 19 degrees of freedom
Multiple R-Squared: 0.8548, Adjusted R-squared: 0.6409
F-statistic: 3.995 on 28 and 19 DF, p-value: 0.001354
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.873176 0.655578 1.332 0.1986
capital.l1 -0.355114 0.193282 -1.837 0.0819 .
loans.l2 0.425846 0.795712 0.535 0.5987
capital.l2 -0.117398 0.183612 -0.639 0.5302
loans.l3 1.228562 0.633517 1.939 0.0675 .
capital.l3 -0.229300 0.173424 -1.322 0.2018
loans.l4 1.281689 0.673640 1.903 0.0724 .
capital.l4 -0.154862 0.170673 -0.907 0.3756
loans.l5 -0.235997 0.604835 -0.390 0.7007
capital.l5 -0.205400 0.182291 -1.127 0.2739
loans.l6 0.597035 0.616890 0.968 0.3453
capital.l6 0.027801 0.170439 0.163 0.8722
loans.l7 -0.272181 0.496775 -0.548 0.5901
capital.l7 0.008680 0.181591 0.048 0.9624
loans.l8 0.464199 0.490880 0.946 0.3562
capital.l8 -0.004048 0.173085 -0.023 0.9816
loans.l9 -1.049115 0.462702 -2.267 0.0352 *
capital.l9 -0.173014 0.170369 -1.016 0.3226
loans.l10 -0.468046 0.320538 -1.460 0.1606
capital.l10 -0.311053 0.357773 -0.869 0.3955
const 0.191874 0.116509 1.647 0.1160
ten_two -0.078343 0.051110 -1.533 0.1418
ten_two_unexp 0.365889 0.173457 2.109 0.0484 *
ten 0.508121 0.792425 0.641 0.5290
ten_unexp -0.893389 0.895653 -0.997 0.3311
cpi -24.140130 9.631468 -2.506 0.0214 *
cpi_unexp 14.995476 8.241777 1.819 0.0846 .
jobs 19.497392 11.537553 1.690 0.1074
jobs_unexp -1.223407 20.818212 -0.059 0.9538
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.1778 on 19 degrees of freedom
Multiple R-Squared: 0.5909, Adjusted R-squared: -0.01189
F-statistic: 0.9803 on 28 and 19 DF, p-value: 0.5295
Covariance matrix of residuals:
loans capital
loans 0.002962 0.003282
capital 0.003282 0.031621
Correlation matrix of residuals:
loans capital
loans 1.0000 0.3391
capital 0.3391 1.0000[1] "error"
[1] "error"Warning in xy.coords(x, y, xlabel, ylabel, log): NAs introduced by coercionWarning in min(x): no non-missing arguments to min; returning InfWarning in max(x): no non-missing arguments to max; returning -Inf[1] "error"
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 32
Log Likelihood: 169.408
Roots of the characteristic polynomial:
1.095 1.095 1.017 1.017 0.9969 0.9969 0.9791 0.9791 0.9789 0.9789 0.9549 0.9549 0.9269 0.9232 0.9232 0.8884 0.8884 0.8541 0.7842 0.5061
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 4.859e-01 7.084e-01 0.686 0.542
capital.l1 -7.542e-01 2.169e+00 -0.348 0.751
loans.l2 -1.505e-01 7.007e-01 -0.215 0.844
capital.l2 4.071e+00 3.598e+00 1.132 0.340
loans.l3 -4.072e-01 1.200e+00 -0.339 0.757
capital.l3 -3.345e-01 2.610e+00 -0.128 0.906
loans.l4 6.065e-02 9.877e-01 0.061 0.955
capital.l4 -1.598e+00 4.773e+00 -0.335 0.760
loans.l5 -3.160e-01 1.164e+00 -0.271 0.804
capital.l5 3.386e+00 4.668e+00 0.725 0.521
loans.l6 5.278e-01 8.699e-01 0.607 0.587
capital.l6 1.758e+00 2.442e+00 0.720 0.524
loans.l7 -1.625e-04 5.720e-01 0.000 1.000
capital.l7 -1.859e+00 3.590e+00 -0.518 0.640
loans.l8 6.197e-02 9.112e-01 0.068 0.950
capital.l8 2.088e+00 3.105e+00 0.673 0.549
loans.l9 9.124e-01 1.110e+00 0.822 0.471
capital.l9 1.247e+00 3.767e+00 0.331 0.762
loans.l10 -2.030e-01 2.497e-01 -0.813 0.476
capital.l10 -3.232e+00 3.267e+00 -0.989 0.396
const -3.720e-01 4.223e-01 -0.881 0.443
ten_two 1.053e-01 1.298e-01 0.812 0.476
ten_two_unexp -2.245e-01 1.102e+00 -0.204 0.852
ten -7.806e-01 1.722e+00 -0.453 0.681
ten_unexp 9.527e-01 2.166e+00 0.440 0.690
cpi 7.188e+00 2.765e+01 0.260 0.812
cpi_unexp 9.468e+00 3.093e+01 0.306 0.780
jobs 2.890e+01 5.171e+01 0.559 0.615
jobs_unexp -3.464e+01 6.137e+01 -0.564 0.612
Residual standard error: 0.1622 on 3 degrees of freedom
Multiple R-Squared: 0.6984, Adjusted R-squared: -2.116
F-statistic: 0.2481 on 28 and 3 DF, p-value: 0.9832
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.03908 0.09439 -0.414 0.7067
capital.l1 -0.02699 0.28902 -0.093 0.9315
loans.l2 -0.01602 0.09337 -0.172 0.8747
capital.l2 -0.06252 0.47940 -0.130 0.9045
loans.l3 0.19640 0.15988 1.228 0.3069
capital.l3 -0.14322 0.34784 -0.412 0.7082
loans.l4 0.01828 0.13162 0.139 0.8984
capital.l4 0.02508 0.63606 0.039 0.9710
loans.l5 0.07744 0.15515 0.499 0.6520
capital.l5 -0.39215 0.62200 -0.630 0.5731
loans.l6 -0.17732 0.11592 -1.530 0.2236
capital.l6 -0.61062 0.32543 -1.876 0.1573
loans.l7 -0.14911 0.07622 -1.956 0.1454
capital.l7 -0.30112 0.47839 -0.629 0.5737
loans.l8 -0.10966 0.12142 -0.903 0.4330
capital.l8 0.24713 0.41371 0.597 0.5923
loans.l9 -0.14479 0.14789 -0.979 0.3998
capital.l9 0.16584 0.50204 0.330 0.7629
loans.l10 0.08383 0.03327 2.519 0.0862 .
capital.l10 0.25940 0.43536 0.596 0.5932
const 0.11616 0.05627 2.064 0.1309
ten_two -0.04676 0.01729 -2.704 0.0735 .
ten_two_unexp 0.09149 0.14686 0.623 0.5774
ten -0.05774 0.22953 -0.252 0.8176
ten_unexp -0.03770 0.28860 -0.131 0.9043
cpi -4.13391 3.68512 -1.122 0.3436
cpi_unexp -4.32673 4.12145 -1.050 0.3709
jobs 0.42785 6.89002 0.062 0.9544
jobs_unexp 8.18694 8.17792 1.001 0.3905
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.02161 on 3 degrees of freedom
Multiple R-Squared: 0.9574, Adjusted R-squared: 0.5594
F-statistic: 2.406 on 28 and 3 DF, p-value: 0.2569
Covariance matrix of residuals:
loans capital
loans 0.026310 -0.0015671
capital -0.001567 0.0004672
Correlation matrix of residuals:
loans capital
loans 1.000 -0.447
capital -0.447 1.000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 56
Log Likelihood: 244.364
Roots of the characteristic polynomial:
0.9577 0.9577 0.9476 0.9476 0.9148 0.9148 0.9116 0.9116 0.8936 0.8936 0.872 0.872 0.8703 0.8296 0.6888 0.6888 0.2409 0.2409
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.082638 0.144744 0.571 0.57245
capital.l1 -0.039507 0.122372 -0.323 0.74913
loans.l2 -0.206457 0.138046 -1.496 0.14557
capital.l2 0.021795 0.110498 0.197 0.84501
loans.l3 -0.223037 0.125453 -1.778 0.08592 .
capital.l3 -0.037494 0.109572 -0.342 0.73468
loans.l4 -0.038510 0.127968 -0.301 0.76561
capital.l4 0.048597 0.104456 0.465 0.64523
loans.l5 -0.046413 0.125033 -0.371 0.71318
capital.l5 -0.016469 0.112260 -0.147 0.88438
loans.l6 -0.185194 0.134818 -1.374 0.18007
capital.l6 -0.115761 0.103509 -1.118 0.27259
loans.l7 -0.363813 0.148982 -2.442 0.02094 *
capital.l7 0.348109 0.105317 3.305 0.00253 **
loans.l8 -0.092873 0.157815 -0.588 0.56076
capital.l8 0.293283 0.120235 2.439 0.02107 *
loans.l9 -0.113133 0.147522 -0.767 0.44935
capital.l9 0.226866 0.121798 1.863 0.07267 .
const 0.033522 0.018305 1.831 0.07735 .
ten_two -0.016708 0.008457 -1.976 0.05778 .
ten_two_unexp -0.047007 0.023986 -1.960 0.05970 .
ten -0.372230 0.125483 -2.966 0.00598 **
ten_unexp 0.392156 0.140016 2.801 0.00898 **
cpi 2.570277 1.610178 1.596 0.12127
cpi_unexp -1.156988 1.342624 -0.862 0.39590
jobs -3.390403 1.818079 -1.865 0.07235 .
jobs_unexp 5.734013 3.207264 1.788 0.08426 .
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.03178 on 29 degrees of freedom
Multiple R-Squared: 0.733, Adjusted R-squared: 0.4936
F-statistic: 3.062 on 26 and 29 DF, p-value: 0.002069
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.305666 0.219087 -1.395 0.1736
capital.l1 -0.222169 0.185223 -1.199 0.2401
loans.l2 -0.104273 0.208948 -0.499 0.6215
capital.l2 -0.099934 0.167251 -0.598 0.5548
loans.l3 -0.253774 0.189888 -1.336 0.1918
capital.l3 -0.081166 0.165850 -0.489 0.6282
loans.l4 0.088644 0.193694 0.458 0.6506
capital.l4 -0.004969 0.158106 -0.031 0.9751
loans.l5 0.263592 0.189252 1.393 0.1743
capital.l5 -0.104292 0.169918 -0.614 0.5441
loans.l6 -0.309949 0.204062 -1.519 0.1396
capital.l6 0.042757 0.156673 0.273 0.7869
loans.l7 0.072269 0.225501 0.320 0.7509
capital.l7 0.183445 0.159409 1.151 0.2592
loans.l8 0.075368 0.238871 0.316 0.7546
capital.l8 0.196786 0.181989 1.081 0.2885
loans.l9 -0.130740 0.223291 -0.586 0.5627
capital.l9 0.323307 0.184355 1.754 0.0900 .
const 0.026646 0.027707 0.962 0.3441
ten_two -0.022061 0.012800 -1.723 0.0954 .
ten_two_unexp -0.002308 0.036306 -0.064 0.9498
ten -0.103591 0.189933 -0.545 0.5896
ten_unexp 0.106411 0.211930 0.502 0.6194
cpi 1.799854 2.437187 0.738 0.4661
cpi_unexp 1.229060 2.032213 0.605 0.5500
jobs -1.045690 2.751867 -0.380 0.7067
jobs_unexp -4.556814 4.854556 -0.939 0.3557
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.0481 on 29 degrees of freedom
Multiple R-Squared: 0.4492, Adjusted R-squared: -0.04461
F-statistic: 0.9097 on 26 and 29 DF, p-value: 0.5942
Covariance matrix of residuals:
loans capital
loans 0.0010100 -0.0005145
capital -0.0005145 0.0023138
Correlation matrix of residuals:
loans capital
loans 1.0000 -0.3366
capital -0.3366 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 64
Log Likelihood: 215.456
Roots of the characteristic polynomial:
0.314 0.04463
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.038888 0.171900 0.226 0.8219
capital.l1 0.013375 0.131876 0.101 0.9196
const 0.028074 0.019636 1.430 0.1587
ten_two -0.012295 0.008362 -1.470 0.1474
ten_two_unexp -0.048842 0.031182 -1.566 0.1232
ten -0.075057 0.140679 -0.534 0.5959
ten_unexp 0.050825 0.148764 0.342 0.7340
cpi 3.353544 1.857731 1.805 0.0767 .
cpi_unexp -0.282294 1.734162 -0.163 0.8713
jobs 0.990384 1.882276 0.526 0.6010
jobs_unexp -6.443088 3.925559 -1.641 0.1067
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.04732 on 53 degrees of freedom
Multiple R-Squared: 0.2716, Adjusted R-squared: 0.1342
F-statistic: 1.976 on 10 and 53 DF, p-value: 0.05484
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.15155 0.24285 0.624 0.53528
capital.l1 -0.30828 0.18630 -1.655 0.10389
const 0.02784 0.02774 1.003 0.32019
ten_two -0.01644 0.01181 -1.392 0.16974
ten_two_unexp 0.03509 0.04405 0.796 0.42931
ten -0.12656 0.19874 -0.637 0.52698
ten_unexp -0.16108 0.21016 -0.766 0.44680
cpi 7.52149 2.62446 2.866 0.00595 **
cpi_unexp -4.03654 2.44989 -1.648 0.10534
jobs -2.67169 2.65914 -1.005 0.31960
jobs_unexp -3.00104 5.54573 -0.541 0.59068
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.06685 on 53 degrees of freedom
Multiple R-Squared: 0.2855, Adjusted R-squared: 0.1507
F-statistic: 2.118 on 10 and 53 DF, p-value: 0.03896
Covariance matrix of residuals:
loans capital
loans 0.002239 0.002014
capital 0.002014 0.004469
Correlation matrix of residuals:
loans capital
loans 1.0000 0.6365
capital 0.6365 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 63
Log Likelihood: 150.32
Roots of the characteristic polynomial:
0.9118 0.3673 0.05599 0.05599
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.506390 0.131724 3.844 0.000343 ***
capital.l1 0.118935 0.050859 2.339 0.023399 *
loans.l2 0.323055 0.128536 2.513 0.015227 *
capital.l2 0.043657 0.052688 0.829 0.411265
const 0.007115 0.023977 0.297 0.767897
ten_two 0.004873 0.009478 0.514 0.609417
ten_two_unexp 0.024230 0.032948 0.735 0.465521
ten -0.275555 0.151696 -1.817 0.075291 .
ten_unexp 0.268260 0.162273 1.653 0.104568
cpi -1.980142 1.935763 -1.023 0.311267
cpi_unexp 1.627632 1.758674 0.925 0.359157
jobs 0.640488 2.072885 0.309 0.758618
jobs_unexp 5.012863 4.299433 1.166 0.249172
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.04978 on 50 degrees of freedom
Multiple R-Squared: 0.646, Adjusted R-squared: 0.561
F-statistic: 7.602 on 12 and 50 DF, p-value: 9.509e-08
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.54067 0.36102 -1.498 0.1405
capital.l1 -0.07163 0.13939 -0.514 0.6096
loans.l2 0.73775 0.35228 2.094 0.0413 *
capital.l2 0.09645 0.14440 0.668 0.5073
const 0.08429 0.06572 1.283 0.2056
ten_two -0.02338 0.02598 -0.900 0.3725
ten_two_unexp -0.09141 0.09030 -1.012 0.3163
ten -0.20128 0.41576 -0.484 0.6304
ten_unexp 0.29758 0.44475 0.669 0.5065
cpi 1.40781 5.30543 0.265 0.7918
cpi_unexp -3.49828 4.82007 -0.726 0.4714
jobs -5.84747 5.68125 -1.029 0.3083
jobs_unexp 2.00807 11.78364 0.170 0.8654
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.1364 on 50 degrees of freedom
Multiple R-Squared: 0.1843, Adjusted R-squared: -0.01148
F-statistic: 0.9414 on 12 and 50 DF, p-value: 0.5149
Covariance matrix of residuals:
loans capital
loans 0.0024776 0.0002305
capital 0.0002305 0.0186112
Correlation matrix of residuals:
loans capital
loans 1.00000 0.03394
capital 0.03394 1.00000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 31
Log Likelihood: 202.111
Roots of the characteristic polynomial:
1.191 1.191 1.013 1.013 0.9915 0.9915 0.988 0.988 0.9669 0.9669 0.9668 0.9668 0.962 0.962 0.9185 0.9185 0.9082 0.9082 0.8883 0.8883
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.082989 0.962135 -0.086 0.939
capital.l1 0.382798 0.726932 0.527 0.651
loans.l2 -0.343827 0.661401 -0.520 0.655
capital.l2 0.494061 0.652318 0.757 0.528
loans.l3 0.224354 0.651214 0.345 0.763
capital.l3 0.407514 0.490787 0.830 0.494
loans.l4 0.044898 0.404570 0.111 0.922
capital.l4 0.343262 0.612483 0.560 0.632
loans.l5 0.027679 0.505381 0.055 0.961
capital.l5 -0.108648 0.407711 -0.266 0.815
loans.l6 0.213633 0.445382 0.480 0.679
capital.l6 0.006787 0.446678 0.015 0.989
loans.l7 -0.104152 0.354606 -0.294 0.797
capital.l7 0.077117 0.393272 0.196 0.863
loans.l8 0.251178 0.915979 0.274 0.810
capital.l8 0.001805 0.367554 0.005 0.997
loans.l9 -0.241084 0.536390 -0.449 0.697
capital.l9 -0.174969 0.365440 -0.479 0.679
loans.l10 -0.264120 0.596438 -0.443 0.701
capital.l10 0.577271 0.838608 0.688 0.562
const -0.168193 0.536344 -0.314 0.784
ten_two 0.079336 0.069465 1.142 0.372
ten_two_unexp 0.079613 0.332481 0.239 0.833
ten 0.316296 0.894933 0.353 0.758
ten_unexp -0.995608 1.271731 -0.783 0.516
cpi 12.815244 25.783138 0.497 0.668
cpi_unexp -1.033778 28.517761 -0.036 0.974
jobs -8.237684 52.008981 -0.158 0.889
jobs_unexp 11.861669 28.994489 0.409 0.722
Residual standard error: 0.09469 on 2 degrees of freedom
Multiple R-Squared: 0.8593, Adjusted R-squared: -1.11
F-statistic: 0.4364 on 28 and 2 DF, p-value: 0.8802
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.22542 0.71057 -0.317 0.781
capital.l1 0.26560 0.53686 0.495 0.670
loans.l2 0.94554 0.48847 1.936 0.193
capital.l2 -1.02570 0.48176 -2.129 0.167
loans.l3 -0.29492 0.48094 -0.613 0.602
capital.l3 -0.61416 0.36246 -1.694 0.232
loans.l4 -0.21434 0.29879 -0.717 0.548
capital.l4 -0.29961 0.45234 -0.662 0.576
loans.l5 -0.61472 0.37324 -1.647 0.241
capital.l5 -0.28655 0.30111 -0.952 0.442
loans.l6 -0.72128 0.32893 -2.193 0.160
capital.l6 -0.44767 0.32989 -1.357 0.308
loans.l7 0.27484 0.26189 1.049 0.404
capital.l7 0.08362 0.29044 0.288 0.801
loans.l8 -1.13139 0.67648 -1.672 0.236
capital.l8 -0.16595 0.27145 -0.611 0.603
loans.l9 0.43923 0.39614 1.109 0.383
capital.l9 0.03470 0.26989 0.129 0.909
loans.l10 -0.98725 0.44049 -2.241 0.154
capital.l10 -0.19051 0.61934 -0.308 0.787
const 0.79289 0.39611 2.002 0.183
ten_two 0.02073 0.05130 0.404 0.725
ten_two_unexp -0.48946 0.24555 -1.993 0.184
ten 0.02152 0.66094 0.033 0.977
ten_unexp 0.57333 0.93922 0.610 0.604
cpi -31.84507 19.04170 -1.672 0.236
cpi_unexp 35.51550 21.06131 1.686 0.234
jobs -70.28684 38.41035 -1.830 0.209
jobs_unexp 59.46533 21.41339 2.777 0.109
Residual standard error: 0.06993 on 2 degrees of freedom
Multiple R-Squared: 0.94, Adjusted R-squared: 0.09967
F-statistic: 1.119 on 28 and 2 DF, p-value: 0.5796
Covariance matrix of residuals:
loans capital
loans 0.008966 0.006485
capital 0.006485 0.004890
Correlation matrix of residuals:
loans capital
loans 1.0000 0.9794
capital 0.9794 1.0000[1] "error"
[1] "error"Warning in xy.coords(x, y, xlabel, ylabel, log): NAs introduced by coercionWarning in min(x): no non-missing arguments to min; returning InfWarning in max(x): no non-missing arguments to max; returning -Inf[1] "error"
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 31
Log Likelihood: 197.177
Roots of the characteristic polynomial:
2.56 1.369 0.9882 0.9882 0.9744 0.9744 0.9666 0.9666 0.9649 0.9649 0.9177 0.9177 0.8516 0.8516 0.8121 0.8121 0.6409 0.6409 0.3459 0.06609
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 1.16937 0.48159 2.428 0.1359
capital.l1 -0.07770 0.18804 -0.413 0.7195
loans.l2 2.40997 0.67214 3.586 0.0697 .
capital.l2 1.19154 0.46828 2.545 0.1259
loans.l3 0.59342 0.30664 1.935 0.1926
capital.l3 0.52886 0.24681 2.143 0.1654
loans.l4 0.20753 0.20070 1.034 0.4098
capital.l4 1.27637 0.40033 3.188 0.0859 .
loans.l5 0.89147 0.26267 3.394 0.0769 .
capital.l5 -0.01288 0.26222 -0.049 0.9653
loans.l6 0.24838 0.16431 1.512 0.2697
capital.l6 1.91449 0.61097 3.134 0.0885 .
loans.l7 0.27285 0.19623 1.390 0.2989
capital.l7 1.30985 0.35695 3.670 0.0669 .
loans.l8 -0.45448 0.10868 -4.182 0.0527 .
capital.l8 0.74195 0.26949 2.753 0.1105
loans.l9 0.15938 0.16150 0.987 0.4277
capital.l9 -1.63290 0.54763 -2.982 0.0965 .
loans.l10 0.03428 0.12173 0.282 0.8047
capital.l10 0.07567 0.30121 0.251 0.8251
const -0.70486 0.19637 -3.589 0.0696 .
ten_two 0.03739 0.02362 1.583 0.2543
ten_two_unexp 0.24510 0.10037 2.442 0.1346
ten -0.36990 0.26512 -1.395 0.2977
ten_unexp 0.57670 0.25705 2.244 0.1540
cpi 30.56163 9.54527 3.202 0.0853 .
cpi_unexp -32.78289 8.23797 -3.979 0.0577 .
jobs 61.13222 17.92427 3.411 0.0763 .
jobs_unexp -4.89403 10.14921 -0.482 0.6773
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.02464 on 2 degrees of freedom
Multiple R-Squared: 0.9901, Adjusted R-squared: 0.8512
F-statistic: 7.13 on 28 and 2 DF, p-value: 0.1303
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.933951 1.666091 0.561 0.632
capital.l1 -0.343081 0.650554 -0.527 0.651
loans.l2 1.386801 2.325318 0.596 0.611
capital.l2 0.885767 1.620047 0.547 0.639
loans.l3 -0.365607 1.060853 -0.345 0.763
capital.l3 0.109281 0.853870 0.128 0.910
loans.l4 -0.262652 0.694335 -0.378 0.742
capital.l4 0.526051 1.384973 0.380 0.741
loans.l5 1.095995 0.908733 1.206 0.351
capital.l5 -0.368693 0.907155 -0.406 0.724
loans.l6 -0.188757 0.568454 -0.332 0.771
capital.l6 1.252195 2.113697 0.592 0.614
loans.l7 0.153959 0.678856 0.227 0.842
capital.l7 0.307890 1.234892 0.249 0.826
loans.l8 -0.192517 0.375988 -0.512 0.660
capital.l8 0.307130 0.932326 0.329 0.773
loans.l9 -0.130199 0.558709 -0.233 0.837
capital.l9 -1.309620 1.894565 -0.691 0.561
loans.l10 0.052155 0.421141 0.124 0.913
capital.l10 0.426859 1.042068 0.410 0.722
const -0.248862 0.679373 -0.366 0.749
ten_two 0.005561 0.081717 0.068 0.952
ten_two_unexp 0.113875 0.347224 0.328 0.774
ten -0.123048 0.917191 -0.134 0.906
ten_unexp -0.056187 0.889292 -0.063 0.955
cpi 18.668286 33.022544 0.565 0.629
cpi_unexp 0.196307 28.499849 0.007 0.995
jobs 13.636859 62.010277 0.220 0.846
jobs_unexp -23.865714 35.111915 -0.680 0.567
Residual standard error: 0.08525 on 2 degrees of freedom
Multiple R-Squared: 0.8604, Adjusted R-squared: -1.094
F-statistic: 0.4403 on 28 and 2 DF, p-value: 0.8781
Covariance matrix of residuals:
loans capital
loans 0.0006073 -0.001398
capital -0.0013976 0.007268
Correlation matrix of residuals:
loans capital
loans 1.0000 -0.6652
capital -0.6652 1.0000[1] "error"
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 46
Log Likelihood: 205.298
Roots of the characteristic polynomial:
0.817 0.817 0.7703 0.7703 0.7335 0.7335 0.687 0.687 0.5251 0.4692
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.117562 0.196495 0.598 0.5546
capital.l1 -0.157017 0.158825 -0.989 0.3316
loans.l2 0.022608 0.193460 0.117 0.9078
capital.l2 -0.229308 0.142898 -1.605 0.1202
loans.l3 -0.185400 0.192724 -0.962 0.3446
capital.l3 0.149599 0.152292 0.982 0.3347
loans.l4 -0.013558 0.195578 -0.069 0.9452
capital.l4 0.310836 0.139634 2.226 0.0345 *
loans.l5 0.151549 0.183631 0.825 0.4164
capital.l5 -0.032858 0.147050 -0.223 0.8249
const 0.049601 0.040399 1.228 0.2301
ten_two -0.018336 0.013546 -1.354 0.1871
ten_two_unexp -0.005118 0.037194 -0.138 0.8916
ten -0.102093 0.185332 -0.551 0.5863
ten_unexp 0.150084 0.199560 0.752 0.4585
cpi 0.951356 1.803707 0.527 0.6022
cpi_unexp -0.572199 1.699500 -0.337 0.7390
jobs -0.422539 2.508933 -0.168 0.8675
jobs_unexp -0.229007 4.748132 -0.048 0.9619
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.04204 on 27 degrees of freedom
Multiple R-Squared: 0.4426, Adjusted R-squared: 0.07101
F-statistic: 1.191 on 18 and 27 DF, p-value: 0.3326
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.092003 0.127933 0.719 0.478225
capital.l1 -0.305804 0.103407 -2.957 0.006378 **
loans.l2 -0.354405 0.125957 -2.814 0.009024 **
capital.l2 -0.231528 0.093037 -2.489 0.019290 *
loans.l3 -0.209771 0.125477 -1.672 0.106118
capital.l3 -0.024890 0.099153 -0.251 0.803698
loans.l4 -0.093436 0.127336 -0.734 0.469411
capital.l4 -0.342880 0.090912 -3.772 0.000807 ***
loans.l5 -0.157284 0.119557 -1.316 0.199385
capital.l5 -0.129435 0.095741 -1.352 0.187614
const 0.117752 0.026303 4.477 0.000124 ***
ten_two -0.035225 0.008819 -3.994 0.000450 ***
ten_two_unexp 0.037734 0.024216 1.558 0.130825
ten 0.124451 0.120665 1.031 0.311515
ten_unexp -0.076809 0.129928 -0.591 0.559326
cpi -0.778204 1.174346 -0.663 0.513160
cpi_unexp -0.430251 1.106500 -0.389 0.700444
jobs -5.246261 1.633500 -3.212 0.003399 **
jobs_unexp 1.396127 3.091384 0.452 0.655151
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.02737 on 27 degrees of freedom
Multiple R-Squared: 0.6173, Adjusted R-squared: 0.3622
F-statistic: 2.42 on 18 and 27 DF, p-value: 0.01844
Covariance matrix of residuals:
loans capital
loans 1.768e-03 4.701e-05
capital 4.701e-05 7.493e-04
Correlation matrix of residuals:
loans capital
loans 1.00000 0.04085
capital 0.04085 1.00000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 20
Log Likelihood: 154.717
Roots of the characteristic polynomial:
0.7864 0.06531
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.726174 0.203253 3.573 0.0060 **
capital.l1 -1.693915 0.865830 -1.956 0.0821 .
const 0.105807 0.032635 3.242 0.0101 *
ten_two -0.008164 0.010159 -0.804 0.4423
ten_two_unexp -0.029541 0.032585 -0.907 0.3883
ten -0.122435 0.080277 -1.525 0.1616
ten_unexp 0.184634 0.076864 2.402 0.0398 *
cpi -2.130545 1.841006 -1.157 0.2770
cpi_unexp 1.331318 1.810608 0.735 0.4809
jobs -13.909041 6.933029 -2.006 0.0758 .
jobs_unexp 8.080419 6.128393 1.319 0.2199
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.01288 on 9 degrees of freedom
Multiple R-Squared: 0.894, Adjusted R-squared: 0.7763
F-statistic: 7.594 on 10 and 9 DF, p-value: 0.002715
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.028160 0.081072 -0.347 0.736
capital.l1 -0.005048 0.345354 -0.015 0.989
const 0.012014 0.013017 0.923 0.380
ten_two 0.001697 0.004052 0.419 0.685
ten_two_unexp -0.004448 0.012997 -0.342 0.740
ten 0.005961 0.032020 0.186 0.856
ten_unexp -0.012999 0.030659 -0.424 0.682
cpi -0.072963 0.734324 -0.099 0.923
cpi_unexp -0.070780 0.722199 -0.098 0.924
jobs -1.560374 2.765385 -0.564 0.586
jobs_unexp 0.780210 2.444439 0.319 0.757
Residual standard error: 0.005138 on 9 degrees of freedom
Multiple R-Squared: 0.2993, Adjusted R-squared: -0.4792
F-statistic: 0.3845 on 10 and 9 DF, p-value: 0.9237
Covariance matrix of residuals:
loans capital
loans 0.0001659 3.39e-05
capital 0.0000339 2.64e-05
Correlation matrix of residuals:
loans capital
loans 1.0000 0.5122
capital 0.5122 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 32
Log Likelihood: 209.898
Roots of the characteristic polynomial:
1.308 1.308 1.103 1.103 1.085 1.085 1.063 1.063 1.047 1.047 0.9576 0.9576 0.9391 0.9391 0.8793 0.8793 0.7721 0.7721 0.6507 0.6507
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.32195 0.56126 0.574 0.6064
capital.l1 -0.07317 0.23518 -0.311 0.7761
loans.l2 -0.49422 0.39025 -1.266 0.2948
capital.l2 0.07550 0.24743 0.305 0.7802
loans.l3 0.65623 0.70543 0.930 0.4209
capital.l3 0.70043 0.51696 1.355 0.2684
loans.l4 0.18952 0.54269 0.349 0.7500
capital.l4 -1.11495 0.84907 -1.313 0.2805
loans.l5 0.22707 0.52664 0.431 0.6955
capital.l5 0.52241 0.59739 0.874 0.4462
loans.l6 0.18617 0.32982 0.564 0.6119
capital.l6 -1.48622 1.38943 -1.070 0.3632
loans.l7 -0.87260 0.47890 -1.822 0.1660
capital.l7 0.38548 0.71207 0.541 0.6259
loans.l8 -0.28027 0.34587 -0.810 0.4771
capital.l8 -1.69952 1.51336 -1.123 0.3432
loans.l9 -0.04524 0.14309 -0.316 0.7726
capital.l9 -0.21286 0.48175 -0.442 0.6885
loans.l10 -0.28329 0.11555 -2.452 0.0916 .
capital.l10 0.01301 0.54835 0.024 0.9826
const 0.16921 0.14302 1.183 0.3220
ten_two 0.03904 0.03455 1.130 0.3406
ten_two_unexp 0.39116 0.25703 1.522 0.2254
ten -0.35773 0.55814 -0.641 0.5672
ten_unexp 0.14401 0.91072 0.158 0.8844
cpi -30.57042 19.06399 -1.604 0.2071
cpi_unexp 17.70473 11.77431 1.504 0.2297
jobs -13.87891 8.70715 -1.594 0.2092
jobs_unexp -19.10172 10.38041 -1.840 0.1630
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.03919 on 3 degrees of freedom
Multiple R-Squared: 0.965, Adjusted R-squared: 0.6388
F-statistic: 2.958 on 28 and 3 DF, p-value: 0.202
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.95911 0.87766 1.093 0.354
capital.l1 -0.54818 0.36776 -1.491 0.233
loans.l2 0.58620 0.61025 0.961 0.408
capital.l2 -0.19186 0.38691 -0.496 0.654
loans.l3 2.15767 1.10310 1.956 0.145
capital.l3 -0.49427 0.80839 -0.611 0.584
loans.l4 1.14687 0.84862 1.351 0.269
capital.l4 -2.21622 1.32772 -1.669 0.194
loans.l5 0.53824 0.82352 0.654 0.560
capital.l5 -0.84580 0.93416 -0.905 0.432
loans.l6 0.15888 0.51575 0.308 0.778
capital.l6 -3.45384 2.17270 -1.590 0.210
loans.l7 -1.07142 0.74887 -1.431 0.248
capital.l7 -1.72822 1.11349 -1.552 0.218
loans.l8 -0.64383 0.54084 -1.190 0.319
capital.l8 -3.21675 2.36649 -1.359 0.267
loans.l9 -0.28015 0.22376 -1.252 0.299
capital.l9 -0.83467 0.75332 -1.108 0.349
loans.l10 -0.20460 0.18069 -1.132 0.340
capital.l10 -1.68247 0.85747 -1.962 0.145
const 0.40971 0.22365 1.832 0.164
ten_two 0.02931 0.05402 0.543 0.625
ten_two_unexp 0.32193 0.40193 0.801 0.482
ten -0.93432 0.87279 -1.071 0.363
ten_unexp 0.98531 1.42413 0.692 0.539
cpi -49.43340 29.81096 -1.658 0.196
cpi_unexp 26.52929 18.41186 1.441 0.245
jobs -13.03908 13.61565 -0.958 0.409
jobs_unexp -23.05152 16.23217 -1.420 0.251
Residual standard error: 0.06128 on 3 degrees of freedom
Multiple R-Squared: 0.8406, Adjusted R-squared: -0.6469
F-statistic: 0.5651 on 28 and 3 DF, p-value: 0.8242
Covariance matrix of residuals:
loans capital
loans 0.001536 -0.002233
capital -0.002233 0.003755
Correlation matrix of residuals:
loans capital
loans 1.0000 -0.9296
capital -0.9296 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 20
Log Likelihood: 129.302
Roots of the characteristic polynomial:
0.4674 0.3004
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.031913 0.301744 -0.106 0.918
capital.l1 -0.944588 0.582135 -1.623 0.139
const -0.061115 0.045969 -1.329 0.216
ten_two -0.003527 0.014725 -0.240 0.816
ten_two_unexp -0.022774 0.067353 -0.338 0.743
ten 0.069864 0.155289 0.450 0.663
ten_unexp -0.097700 0.134747 -0.725 0.487
cpi 5.701127 3.235618 1.762 0.112
cpi_unexp -0.849905 3.683358 -0.231 0.823
jobs 13.595542 11.007551 1.235 0.248
jobs_unexp -5.245278 9.324892 -0.563 0.588
Residual standard error: 0.01882 on 9 degrees of freedom
Multiple R-Squared: 0.6685, Adjusted R-squared: 0.3002
F-statistic: 1.815 on 10 and 9 DF, p-value: 0.1918
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.153211 0.179205 -0.855 0.415
capital.l1 -0.135098 0.345729 -0.391 0.705
const 0.018852 0.027301 0.691 0.507
ten_two -0.008367 0.008745 -0.957 0.364
ten_two_unexp 0.031435 0.040001 0.786 0.452
ten -0.027697 0.092226 -0.300 0.771
ten_unexp 0.001284 0.080026 0.016 0.988
cpi 0.480725 1.921629 0.250 0.808
cpi_unexp -1.082673 2.187541 -0.495 0.633
jobs 0.065534 6.537370 0.010 0.992
jobs_unexp 7.271541 5.538041 1.313 0.222
Residual standard error: 0.01118 on 9 degrees of freedom
Multiple R-Squared: 0.2889, Adjusted R-squared: -0.5012
F-statistic: 0.3656 on 10 and 9 DF, p-value: 0.9336
Covariance matrix of residuals:
loans capital
loans 3.543e-04 5.706e-05
capital 5.706e-05 1.250e-04
Correlation matrix of residuals:
loans capital
loans 1.0000 0.2712
capital 0.2712 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 63
Log Likelihood: 346.71
Roots of the characteristic polynomial:
0.491 0.3586 0.3128 0.3128
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.113448 0.147021 0.772 0.4440
capital.l1 -0.445851 0.699882 -0.637 0.5270
loans.l2 0.034528 0.162990 0.212 0.8331
capital.l2 -0.740734 0.637586 -1.162 0.2508
const -0.003031 0.019167 -0.158 0.8750
ten_two 0.002182 0.007023 0.311 0.7573
ten_two_unexp 0.015849 0.028845 0.549 0.5852
ten 0.015358 0.116940 0.131 0.8960
ten_unexp -0.099108 0.127535 -0.777 0.4408
cpi 3.228164 1.547581 2.086 0.0421 *
cpi_unexp -2.009520 1.469649 -1.367 0.1776
jobs -1.738568 1.712390 -1.015 0.3149
jobs_unexp -0.381450 3.470808 -0.110 0.9129
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.03932 on 50 degrees of freedom
Multiple R-Squared: 0.2583, Adjusted R-squared: 0.08027
F-statistic: 1.451 on 12 and 50 DF, p-value: 0.1751
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.0003368 0.0299549 0.011 0.9911
capital.l1 0.0729889 0.1425978 0.512 0.6110
loans.l2 -0.0253646 0.0332084 -0.764 0.4486
capital.l2 0.0449718 0.1299052 0.346 0.7307
const 0.0101408 0.0039052 2.597 0.0123 *
ten_two -0.0011909 0.0014308 -0.832 0.4092
ten_two_unexp -0.0042162 0.0058771 -0.717 0.4765
ten -0.0016566 0.0238261 -0.070 0.9448
ten_unexp 0.0180299 0.0259847 0.694 0.4910
cpi -0.3320734 0.3153124 -1.053 0.2973
cpi_unexp -0.2844432 0.2994342 -0.950 0.3467
jobs 0.2535626 0.3488915 0.727 0.4708
jobs_unexp -0.0775494 0.7071609 -0.110 0.9131
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.00801 on 50 degrees of freedom
Multiple R-Squared: 0.2168, Adjusted R-squared: 0.02882
F-statistic: 1.153 on 12 and 50 DF, p-value: 0.3414
Covariance matrix of residuals:
loans capital
loans 1.546e-03 -9.427e-05
capital -9.427e-05 6.417e-05
Correlation matrix of residuals:
loans capital
loans 1.0000 -0.2993
capital -0.2993 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 64
Log Likelihood: 339.574
Roots of the characteristic polynomial:
0.6422 0.01793
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.574541 0.112451 5.109 4.52e-06 ***
capital.l1 0.476767 0.479314 0.995 0.324
const -0.003128 0.018977 -0.165 0.870
ten_two -0.002570 0.006830 -0.376 0.708
ten_two_unexp -0.010667 0.023125 -0.461 0.646
ten -0.040015 0.107557 -0.372 0.711
ten_unexp 0.052566 0.115221 0.456 0.650
cpi 0.403164 1.375508 0.293 0.771
cpi_unexp 0.043479 1.253286 0.035 0.972
jobs 1.425389 1.460756 0.976 0.334
jobs_unexp -3.714230 3.051804 -1.217 0.229
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.03656 on 53 degrees of freedom
Multiple R-Squared: 0.4358, Adjusted R-squared: 0.3293
F-statistic: 4.094 on 10 and 53 DF, p-value: 0.0003336
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.078995 0.029700 2.660 0.01032 *
capital.l1 0.085590 0.126593 0.676 0.50191
const 0.015840 0.005012 3.160 0.00260 **
ten_two -0.002191 0.001804 -1.214 0.23000
ten_two_unexp -0.009610 0.006108 -1.573 0.12156
ten 0.031840 0.028407 1.121 0.26740
ten_unexp -0.013017 0.030431 -0.428 0.67057
cpi -0.483503 0.363289 -1.331 0.18892
cpi_unexp 0.393116 0.331009 1.188 0.24027
jobs 1.221453 0.385804 3.166 0.00256 **
jobs_unexp -1.775641 0.806020 -2.203 0.03197 *
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.009655 on 53 degrees of freedom
Multiple R-Squared: 0.3805, Adjusted R-squared: 0.2636
F-statistic: 3.255 on 10 and 53 DF, p-value: 0.002438
Covariance matrix of residuals:
loans capital
loans 1.336e-03 -3.866e-05
capital -3.866e-05 9.323e-05
Correlation matrix of residuals:
loans capital
loans 1.0000 -0.1095
capital -0.1095 1.0000[1] "error"
[1] "error"Warning in xy.coords(x, y, xlabel, ylabel, log): NAs introduced by coercionWarning in min(x): no non-missing arguments to min; returning InfWarning in max(x): no non-missing arguments to max; returning -Inf[1] "error"
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 56
Log Likelihood: 183.11
Roots of the characteristic polynomial:
0.9416 0.9416 0.8922 0.8814 0.8814 0.8639 0.8639 0.8566 0.8566 0.851 0.851 0.8235 0.8235 0.6366 0.6366 0.6221 0.5026 0.5026
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.04439 0.17516 0.253 0.80172
capital.l1 0.04864 0.09086 0.535 0.59650
loans.l2 0.01573 0.15906 0.099 0.92188
capital.l2 0.21133 0.09626 2.195 0.03628 *
loans.l3 0.11256 0.16905 0.666 0.51079
capital.l3 0.01853 0.07991 0.232 0.81825
loans.l4 0.32135 0.18378 1.749 0.09094 .
capital.l4 -0.01471 0.06889 -0.214 0.83239
loans.l5 -0.15194 0.15706 -0.967 0.34132
capital.l5 -0.04134 0.07561 -0.547 0.58875
loans.l6 0.01372 0.14861 0.092 0.92710
capital.l6 -0.14607 0.07415 -1.970 0.05848 .
loans.l7 -0.18633 0.16152 -1.154 0.25809
capital.l7 0.03371 0.01499 2.248 0.03232 *
loans.l8 -0.07290 0.16598 -0.439 0.66375
capital.l8 0.05007 0.01756 2.852 0.00792 **
loans.l9 0.37387 0.17199 2.174 0.03802 *
capital.l9 0.02012 0.01514 1.330 0.19402
const 0.06742 0.03272 2.061 0.04842 *
ten_two -0.02207 0.01502 -1.469 0.15257
ten_two_unexp 0.02406 0.03949 0.609 0.54707
ten 0.22258 0.18755 1.187 0.24496
ten_unexp -0.20986 0.21652 -0.969 0.34046
cpi -5.48361 2.17063 -2.526 0.01724 *
cpi_unexp 5.17811 2.20438 2.349 0.02585 *
jobs 1.10577 2.98116 0.371 0.71339
jobs_unexp 5.00175 6.28396 0.796 0.43253
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.04646 on 29 degrees of freedom
Multiple R-Squared: 0.7654, Adjusted R-squared: 0.555
F-statistic: 3.639 on 26 and 29 DF, p-value: 0.0005052
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.265766 0.354507 0.750 0.45949
capital.l1 0.041540 0.183888 0.226 0.82287
loans.l2 -0.726332 0.321919 -2.256 0.03177 *
capital.l2 0.022604 0.194813 0.116 0.90843
loans.l3 0.277683 0.342130 0.812 0.42362
capital.l3 0.043781 0.161729 0.271 0.78854
loans.l4 -0.085556 0.371943 -0.230 0.81969
capital.l4 0.021171 0.139424 0.152 0.88036
loans.l5 0.045694 0.317863 0.144 0.88669
capital.l5 -0.162399 0.153034 -1.061 0.29736
loans.l6 0.956759 0.300762 3.181 0.00348 **
capital.l6 -0.228308 0.150079 -1.521 0.13903
loans.l7 -0.742873 0.326897 -2.272 0.03065 *
capital.l7 0.003889 0.030345 0.128 0.89891
loans.l8 -0.226397 0.335918 -0.674 0.50567
capital.l8 0.055017 0.035531 1.548 0.13236
loans.l9 0.354016 0.348085 1.017 0.31754
capital.l9 -0.009098 0.030634 -0.297 0.76860
const 0.022068 0.066216 0.333 0.74133
ten_two -0.012765 0.030402 -0.420 0.67768
ten_two_unexp -0.143861 0.079931 -1.800 0.08230 .
ten -0.192092 0.379587 -0.506 0.61664
ten_unexp 0.194822 0.438219 0.445 0.65993
cpi 1.362569 4.393084 0.310 0.75866
cpi_unexp -0.379458 4.461393 -0.085 0.93280
jobs 6.789250 6.033506 1.125 0.26971
jobs_unexp 0.169013 12.717974 0.013 0.98949
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.09402 on 29 degrees of freedom
Multiple R-Squared: 0.6725, Adjusted R-squared: 0.3789
F-statistic: 2.29 on 26 and 29 DF, p-value: 0.01606
Covariance matrix of residuals:
loans capital
loans 0.0021581 0.0007783
capital 0.0007783 0.0088398
Correlation matrix of residuals:
loans capital
loans 1.0000 0.1782
capital 0.1782 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 60
Log Likelihood: 187.692
Roots of the characteristic polynomial:
0.9578 0.9578 0.9226 0.8808 0.8808 0.8483 0.6917 0.6917 0.6049 0.6049
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.18891 0.14766 1.279 0.207963
capital.l1 0.72492 0.30910 2.345 0.023934 *
loans.l2 -0.55972 0.15262 -3.667 0.000698 ***
capital.l2 0.07452 0.33835 0.220 0.826775
loans.l3 -0.22734 0.15490 -1.468 0.149824
capital.l3 0.71116 0.32683 2.176 0.035379 *
loans.l4 0.25083 0.14948 1.678 0.100966
capital.l4 0.40596 0.34983 1.160 0.252576
loans.l5 -0.32748 0.15339 -2.135 0.038790 *
capital.l5 0.31389 0.30598 1.026 0.310977
const 0.03371 0.05160 0.653 0.517270
ten_two -0.02785 0.01771 -1.573 0.123435
ten_two_unexp 0.04989 0.07418 0.673 0.504942
ten -0.12939 0.27488 -0.471 0.640331
ten_unexp 0.08070 0.31605 0.255 0.799728
cpi -0.66789 3.61189 -0.185 0.854207
cpi_unexp 1.29103 3.68514 0.350 0.727882
jobs 6.24722 4.26689 1.464 0.150788
jobs_unexp 1.88782 7.91301 0.239 0.812626
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.08644 on 41 degrees of freedom
Multiple R-Squared: 0.6772, Adjusted R-squared: 0.5355
F-statistic: 4.778 on 18 and 41 DF, p-value: 1.677e-05
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.182372 0.074236 2.457 0.01835 *
capital.l1 -0.276662 0.155398 -1.780 0.08243 .
loans.l2 -0.001118 0.076731 -0.015 0.98845
capital.l2 -0.267139 0.170101 -1.570 0.12399
loans.l3 0.239415 0.077873 3.074 0.00374 **
capital.l3 -0.167000 0.164313 -1.016 0.31542
loans.l4 -0.015794 0.075152 -0.210 0.83459
capital.l4 0.195306 0.175872 1.111 0.27325
loans.l5 -0.022655 0.077116 -0.294 0.77041
capital.l5 0.319583 0.153828 2.078 0.04406 *
const 0.022279 0.025943 0.859 0.39547
ten_two -0.010739 0.008902 -1.206 0.23464
ten_two_unexp 0.050161 0.037291 1.345 0.18597
ten -0.229857 0.138194 -1.663 0.10388
ten_unexp 0.132829 0.158892 0.836 0.40802
cpi 1.193583 1.815845 0.657 0.51465
cpi_unexp -1.791131 1.852670 -0.967 0.33932
jobs 0.924238 2.145137 0.431 0.66883
jobs_unexp -0.263462 3.978194 -0.066 0.94752
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.04345 on 41 degrees of freedom
Multiple R-Squared: 0.509, Adjusted R-squared: 0.2934
F-statistic: 2.361 on 18 and 41 DF, p-value: 0.01149
Covariance matrix of residuals:
loans capital
loans 0.0074712 -0.0001602
capital -0.0001602 0.0018883
Correlation matrix of residuals:
loans capital
loans 1.00000 -0.04265
capital -0.04265 1.00000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 63
Log Likelihood: 170.662
Roots of the characteristic polynomial:
0.8565 0.5535 0.2194 0.2194
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 2.995e-01 1.277e-01 2.345 0.023025 *
capital.l1 6.591e-04 6.668e-02 0.010 0.992153
loans.l2 4.736e-01 1.275e-01 3.713 0.000515 ***
capital.l2 2.267e-02 6.416e-02 0.353 0.725371
const -1.640e-02 2.111e-02 -0.777 0.440854
ten_two 5.040e-03 8.603e-03 0.586 0.560595
ten_two_unexp -6.139e-03 3.310e-02 -0.185 0.853598
ten 2.588e-02 1.524e-01 0.170 0.865821
ten_unexp 3.853e-02 1.644e-01 0.234 0.815650
cpi -8.638e-01 1.934e+00 -0.447 0.657010
cpi_unexp 2.061e+00 1.831e+00 1.126 0.265623
jobs 4.850e+00 2.137e+00 2.270 0.027541 *
jobs_unexp -1.074e+01 4.449e+00 -2.414 0.019460 *
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.05105 on 50 degrees of freedom
Multiple R-Squared: 0.5355, Adjusted R-squared: 0.424
F-statistic: 4.803 on 12 and 50 DF, p-value: 3.534e-05
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.10194 0.24097 0.423 0.674069
capital.l1 -0.06711 0.12583 -0.533 0.596128
loans.l2 0.03636 0.24065 0.151 0.880499
capital.l2 -0.04644 0.12107 -0.384 0.702925
const -0.06477 0.03984 -1.626 0.110269
ten_two 0.02620 0.01623 1.614 0.112791
ten_two_unexp -0.01661 0.06245 -0.266 0.791406
ten 0.42416 0.28755 1.475 0.146457
ten_unexp -0.06035 0.31018 -0.195 0.846533
cpi 0.18418 3.64896 0.050 0.959944
cpi_unexp 1.06223 3.45520 0.307 0.759793
jobs 12.76745 4.03175 3.167 0.002627 **
jobs_unexp -29.97750 8.39580 -3.571 0.000798 ***
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.09634 on 50 degrees of freedom
Multiple R-Squared: 0.3327, Adjusted R-squared: 0.1726
F-statistic: 2.077 on 12 and 50 DF, p-value: 0.036
Covariance matrix of residuals:
loans capital
loans 0.0026065 -0.0002119
capital -0.0002119 0.0092810
Correlation matrix of residuals:
loans capital
loans 1.00000 -0.04309
capital -0.04309 1.00000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 57
Log Likelihood: 213.07
Roots of the characteristic polynomial:
0.9861 0.9073 0.8822 0.8822 0.8814 0.8814 0.8715 0.8715 0.8093 0.8093 0.8088 0.8088 0.8024 0.8024 0.7237 0.5189
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.07073 0.19137 -0.370 0.714109
capital.l1 0.37135 0.09106 4.078 0.000281 ***
loans.l2 0.14403 0.16997 0.847 0.403073
capital.l2 0.27195 0.12098 2.248 0.031600 *
loans.l3 0.11157 0.16809 0.664 0.511589
capital.l3 0.20002 0.11687 1.711 0.096675 .
loans.l4 0.17692 0.15254 1.160 0.254706
capital.l4 -0.10327 0.11523 -0.896 0.376861
loans.l5 0.14492 0.11406 1.271 0.213022
capital.l5 -0.16105 0.11453 -1.406 0.169289
loans.l6 -0.09402 0.10803 -0.870 0.390624
capital.l6 -0.23305 0.09787 -2.381 0.023378 *
loans.l7 0.19706 0.10681 1.845 0.074306 .
capital.l7 0.05138 0.09106 0.564 0.576509
loans.l8 0.17660 0.10729 1.646 0.109568
capital.l8 -0.02244 0.09472 -0.237 0.814268
const -0.08661 0.04564 -1.897 0.066817 .
ten_two 0.02296 0.01549 1.482 0.148054
ten_two_unexp -0.02845 0.02750 -1.035 0.308640
ten -0.13815 0.12268 -1.126 0.268509
ten_unexp 0.05571 0.12863 0.433 0.667846
cpi 4.90566 2.19005 2.240 0.032167 *
cpi_unexp -1.08233 1.74907 -0.619 0.540427
jobs 5.93532 2.32600 2.552 0.015698 *
jobs_unexp -4.99884 4.48608 -1.114 0.273449
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.03704 on 32 degrees of freedom
Multiple R-Squared: 0.7195, Adjusted R-squared: 0.5091
F-statistic: 3.42 on 24 and 32 DF, p-value: 0.000676
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.106893 0.349539 0.306 0.7617
capital.l1 -0.231032 0.166323 -1.389 0.1744
loans.l2 0.546998 0.310455 1.762 0.0876 .
capital.l2 0.025553 0.220964 0.116 0.9087
loans.l3 0.126877 0.307017 0.413 0.6822
capital.l3 0.079792 0.213470 0.374 0.7110
loans.l4 -0.362875 0.278614 -1.302 0.2021
capital.l4 -0.264869 0.210474 -1.258 0.2173
loans.l5 -0.138617 0.208325 -0.665 0.5106
capital.l5 0.038598 0.209186 0.185 0.8548
loans.l6 -0.091562 0.197325 -0.464 0.6458
capital.l6 0.149263 0.178761 0.835 0.4099
loans.l7 0.024196 0.195085 0.124 0.9021
capital.l7 0.372433 0.166319 2.239 0.0322 *
loans.l8 0.020108 0.195970 0.103 0.9189
capital.l8 0.238419 0.173002 1.378 0.1777
const 0.020670 0.083367 0.248 0.8058
ten_two 0.004227 0.028294 0.149 0.8822
ten_two_unexp -0.135920 0.050236 -2.706 0.0108 *
ten 0.293536 0.224075 1.310 0.1995
ten_unexp -0.113706 0.234934 -0.484 0.6317
cpi -2.065001 4.000138 -0.516 0.6092
cpi_unexp 1.064625 3.194675 0.333 0.7411
jobs 1.228055 4.248451 0.289 0.7744
jobs_unexp -7.762056 8.193825 -0.947 0.3506
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.06765 on 32 degrees of freedom
Multiple R-Squared: 0.4976, Adjusted R-squared: 0.1207
F-statistic: 1.32 on 24 and 32 DF, p-value: 0.2287
Covariance matrix of residuals:
loans capital
loans 0.0013716 -0.0003395
capital -0.0003395 0.0045759
Correlation matrix of residuals:
loans capital
loans 1.0000 -0.1355
capital -0.1355 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 61
Log Likelihood: 287.205
Roots of the characteristic polynomial:
0.8965 0.8058 0.8058 0.6948 0.6948 0.4644 0.4644 0.364
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.141553 0.152427 0.929 0.35813
capital.l1 0.141621 0.155894 0.908 0.36859
loans.l2 0.039019 0.153018 0.255 0.79991
capital.l2 0.256351 0.159350 1.609 0.11483
loans.l3 0.449268 0.150800 2.979 0.00469 **
capital.l3 -0.044777 0.165229 -0.271 0.78766
loans.l4 -0.020033 0.155212 -0.129 0.89789
capital.l4 -0.064229 0.162600 -0.395 0.69474
const -0.004734 0.013530 -0.350 0.72810
ten_two -0.001573 0.004928 -0.319 0.75107
ten_two_unexp -0.001937 0.020830 -0.093 0.92632
ten 0.089694 0.090408 0.992 0.32657
ten_unexp -0.059804 0.099229 -0.603 0.54981
cpi 1.015109 1.150341 0.882 0.38233
cpi_unexp -1.190414 1.046482 -1.138 0.26147
jobs -0.135146 1.420212 -0.095 0.92462
jobs_unexp -2.318881 2.628528 -0.882 0.38246
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.02877 on 44 degrees of freedom
Multiple R-Squared: 0.488, Adjusted R-squared: 0.3018
F-statistic: 2.621 on 16 and 44 DF, p-value: 0.005888
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.094443 0.136099 0.694 0.4914
capital.l1 -0.120688 0.139194 -0.867 0.3906
loans.l2 0.046989 0.136626 0.344 0.7325
capital.l2 -0.022778 0.142280 -0.160 0.8735
loans.l3 0.168566 0.134646 1.252 0.2172
capital.l3 -0.157002 0.147529 -1.064 0.2930
loans.l4 0.333094 0.138585 2.404 0.0205 *
capital.l4 -0.033152 0.145182 -0.228 0.8204
const 0.014784 0.012080 1.224 0.2276
ten_two -0.002266 0.004400 -0.515 0.6091
ten_two_unexp 0.012950 0.018599 0.696 0.4899
ten 0.086187 0.080724 1.068 0.2915
ten_unexp -0.050262 0.088600 -0.567 0.5734
cpi -1.136891 1.027115 -1.107 0.2744
cpi_unexp 0.154465 0.934381 0.165 0.8695
jobs 1.947617 1.268077 1.536 0.1317
jobs_unexp -2.653341 2.346957 -1.131 0.2644
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.02569 on 44 degrees of freedom
Multiple R-Squared: 0.3049, Adjusted R-squared: 0.05217
F-statistic: 1.206 on 16 and 44 DF, p-value: 0.3011
Covariance matrix of residuals:
loans capital
loans 0.0008277 0.0001001
capital 0.0001001 0.0006598
Correlation matrix of residuals:
loans capital
loans 1.0000 0.1355
capital 0.1355 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 63
Log Likelihood: 247.763
Roots of the characteristic polynomial:
0.5351 0.5343 0.5343 0.3948
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.221376 0.125711 1.761 0.0844 .
capital.l1 0.052376 0.043977 1.191 0.2393
loans.l2 0.229352 0.146103 1.570 0.1228
capital.l2 0.011824 0.043004 0.275 0.7845
const 0.001973 0.009340 0.211 0.8336
ten_two -0.002297 0.003872 -0.593 0.5557
ten_two_unexp -0.021714 0.014960 -1.451 0.1529
ten 0.073053 0.065091 1.122 0.2671
ten_unexp -0.044049 0.071631 -0.615 0.5414
cpi 1.562460 0.927293 1.685 0.0982 .
cpi_unexp -1.380352 0.849004 -1.626 0.1103
jobs -0.732798 0.980629 -0.747 0.4584
jobs_unexp -0.797577 1.926059 -0.414 0.6806
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.02222 on 50 degrees of freedom
Multiple R-Squared: 0.3716, Adjusted R-squared: 0.2208
F-statistic: 2.464 on 12 and 50 DF, p-value: 0.01297
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.218094 0.371615 -0.587 0.5599
capital.l1 -0.010998 0.130002 -0.085 0.9329
loans.l2 -0.804011 0.431897 -1.862 0.0685 .
capital.l2 -0.304381 0.127123 -2.394 0.0204 *
const 0.036951 0.027609 1.338 0.1868
ten_two -0.004928 0.011445 -0.431 0.6686
ten_two_unexp -0.100168 0.044223 -2.265 0.0279 *
ten 0.095860 0.192415 0.498 0.6205
ten_unexp -0.116187 0.211750 -0.549 0.5857
cpi 3.680867 2.741178 1.343 0.1854
cpi_unexp -0.705170 2.509749 -0.281 0.7799
jobs -5.423301 2.898847 -1.871 0.0672 .
jobs_unexp 1.093461 5.693638 0.192 0.8485
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.06568 on 50 degrees of freedom
Multiple R-Squared: 0.2633, Adjusted R-squared: 0.08648
F-statistic: 1.489 on 12 and 50 DF, p-value: 0.1599
Covariance matrix of residuals:
loans capital
loans 0.0004937 -0.0002025
capital -0.0002025 0.0043139
Correlation matrix of residuals:
loans capital
loans 1.0000 -0.1388
capital -0.1388 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 33
Log Likelihood: 123.135
Roots of the characteristic polynomial:
1.047 1.047 1.033 1.033 1.022 1.022 1.015 1.015 0.995 0.995 0.9735 0.9735 0.9718 0.9718 0.8753 0.8753 0.7303 0.7303 0.5905 0.5905
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.67612 0.37273 -1.814 0.144
capital.l1 0.35431 0.17046 2.079 0.106
loans.l2 -0.62087 0.48735 -1.274 0.272
capital.l2 0.27959 0.17337 1.613 0.182
loans.l3 -0.06690 0.45621 -0.147 0.891
capital.l3 0.23483 0.26389 0.890 0.424
loans.l4 -0.50445 0.41971 -1.202 0.296
capital.l4 0.02195 0.17851 0.123 0.908
loans.l5 -0.45480 0.47381 -0.960 0.391
capital.l5 0.20426 0.19966 1.023 0.364
loans.l6 -0.34689 0.36892 -0.940 0.400
capital.l6 0.09125 0.19004 0.480 0.656
loans.l7 0.11703 0.42847 0.273 0.798
capital.l7 0.12812 0.18766 0.683 0.532
loans.l8 -0.14619 0.41490 -0.352 0.742
capital.l8 -0.01507 0.18555 -0.081 0.939
loans.l9 -0.01204 0.22376 -0.054 0.960
capital.l9 0.26081 0.22186 1.176 0.305
loans.l10 -0.16836 0.25430 -0.662 0.544
capital.l10 0.07440 0.17538 0.424 0.693
const 0.38917 0.22433 1.735 0.158
ten_two -0.08460 0.06716 -1.260 0.276
ten_two_unexp -0.31513 0.28845 -1.093 0.336
ten 0.42366 0.64277 0.659 0.546
ten_unexp 0.50327 0.75954 0.663 0.544
cpi -17.63628 15.75255 -1.120 0.326
cpi_unexp 7.23213 17.24742 0.419 0.697
jobs -25.31408 23.73840 -1.066 0.346
jobs_unexp 3.81790 18.85156 0.203 0.849
Residual standard error: 0.09412 on 4 degrees of freedom
Multiple R-Squared: 0.8912, Adjusted R-squared: 0.1298
F-statistic: 1.17 on 28 and 4 DF, p-value: 0.4968
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 1.21301 0.50590 2.398 0.07454 .
capital.l1 0.29848 0.23136 1.290 0.26655
loans.l2 1.18450 0.66146 1.791 0.14783
capital.l2 -0.59467 0.23531 -2.527 0.06486 .
loans.l3 2.26064 0.61920 3.651 0.02175 *
capital.l3 -0.68294 0.35818 -1.907 0.12924
loans.l4 0.88145 0.56966 1.547 0.19670
capital.l4 -0.82403 0.24229 -3.401 0.02725 *
loans.l5 0.65330 0.64309 1.016 0.36714
capital.l5 -0.20867 0.27100 -0.770 0.48425
loans.l6 0.11645 0.50073 0.233 0.82751
capital.l6 -0.57140 0.25794 -2.215 0.09109 .
loans.l7 4.07890 0.58155 7.014 0.00218 **
capital.l7 0.07835 0.25470 0.308 0.77373
loans.l8 -0.62779 0.56314 -1.115 0.32739
capital.l8 -1.52211 0.25184 -6.044 0.00378 **
loans.l9 0.89604 0.30370 2.950 0.04195 *
capital.l9 0.14122 0.30113 0.469 0.66351
loans.l10 0.09975 0.34515 0.289 0.78694
capital.l10 -0.98798 0.23804 -4.150 0.01425 *
const -0.77145 0.30447 -2.534 0.06441 .
ten_two 0.04895 0.09116 0.537 0.61977
ten_two_unexp 0.26579 0.39150 0.679 0.53445
ten -1.12800 0.87242 -1.293 0.26565
ten_unexp 0.12131 1.03091 0.118 0.91200
cpi 33.70463 21.38062 1.576 0.19006
cpi_unexp -22.51326 23.40958 -0.962 0.39066
jobs 119.27188 32.21965 3.702 0.02080 *
jobs_unexp -65.41423 25.58684 -2.557 0.06287 .
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.1277 on 4 degrees of freedom
Multiple R-Squared: 0.9687, Adjusted R-squared: 0.7495
F-statistic: 4.42 on 28 and 4 DF, p-value: 0.07859
Covariance matrix of residuals:
loans capital
loans 0.008859 0.00326
capital 0.003260 0.01632
Correlation matrix of residuals:
loans capital
loans 1.0000 0.2711
capital 0.2711 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 55
Log Likelihood: 177.573
Roots of the characteristic polynomial:
0.9744 0.9744 0.9643 0.9643 0.956 0.956 0.9464 0.9464 0.9265 0.9265 0.8891 0.8891 0.8536 0.8536 0.8377 0.805 0.805 0.7702 0.7702 0.01229
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -1.223e-01 1.388e-01 -0.881 0.386505
capital.l1 2.519e-01 1.333e-01 1.890 0.069948 .
loans.l2 -3.496e-01 1.368e-01 -2.556 0.016782 *
capital.l2 5.608e-01 1.485e-01 3.778 0.000833 ***
loans.l3 1.379e-01 1.276e-01 1.081 0.289833
capital.l3 -3.725e-02 1.240e-01 -0.300 0.766296
loans.l4 -4.798e-04 1.484e-01 -0.003 0.997445
capital.l4 -1.513e-01 1.388e-01 -1.090 0.285800
loans.l5 4.727e-02 1.223e-01 0.386 0.702291
capital.l5 -3.023e-01 1.302e-01 -2.321 0.028393 *
loans.l6 1.019e-01 1.352e-01 0.753 0.458080
capital.l6 -4.519e-01 1.471e-01 -3.073 0.004931 **
loans.l7 -2.180e-02 1.243e-01 -0.175 0.862144
capital.l7 -5.000e-01 1.461e-01 -3.424 0.002058 **
loans.l8 -1.417e-01 1.512e-01 -0.937 0.357339
capital.l8 -2.792e-01 1.369e-01 -2.039 0.051726 .
loans.l9 -2.421e-01 1.400e-01 -1.729 0.095632 .
capital.l9 -4.036e-01 1.541e-01 -2.618 0.014541 *
loans.l10 -3.850e-01 1.853e-01 -2.078 0.047697 *
capital.l10 -1.292e-01 1.493e-01 -0.865 0.394805
const 3.796e-01 5.959e-02 6.370 9.53e-07 ***
ten_two -1.248e-01 1.904e-02 -6.558 5.93e-07 ***
ten_two_unexp -2.898e-03 8.913e-02 -0.033 0.974307
ten 3.011e-01 2.749e-01 1.095 0.283442
ten_unexp -8.374e-02 3.114e-01 -0.269 0.790157
cpi -3.845e+00 3.766e+00 -1.021 0.316645
cpi_unexp -2.420e+00 3.409e+00 -0.710 0.484019
jobs -2.239e+01 6.528e+00 -3.431 0.002023 **
jobs_unexp 2.030e+01 9.687e+00 2.095 0.046037 *
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.07567 on 26 degrees of freedom
Multiple R-Squared: 0.7782, Adjusted R-squared: 0.5393
F-statistic: 3.257 on 28 and 26 DF, p-value: 0.001684
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.029929 0.118998 0.252 0.8034
capital.l1 -0.113462 0.114227 -0.993 0.3297
loans.l2 0.112218 0.117245 0.957 0.3473
capital.l2 -0.222004 0.127260 -1.744 0.0929 .
loans.l3 0.041155 0.109398 0.376 0.7098
capital.l3 -0.196427 0.106312 -1.848 0.0761 .
loans.l4 -0.084931 0.127225 -0.668 0.5103
capital.l4 -0.187110 0.118992 -1.572 0.1279
loans.l5 0.133564 0.104852 1.274 0.2140
capital.l5 -0.149826 0.111626 -1.342 0.1911
loans.l6 -0.036168 0.115933 -0.312 0.7575
capital.l6 -0.075955 0.126076 -0.602 0.5521
loans.l7 0.106597 0.106576 1.000 0.3264
capital.l7 -0.093600 0.125197 -0.748 0.4614
loans.l8 -0.106110 0.129631 -0.819 0.4205
capital.l8 -0.139948 0.117369 -1.192 0.2439
loans.l9 -0.061376 0.120010 -0.511 0.6134
capital.l9 -0.024234 0.132132 -0.183 0.8559
loans.l10 0.351348 0.158804 2.212 0.0359 *
capital.l10 0.121570 0.127990 0.950 0.3509
const -0.024811 0.051082 -0.486 0.6312
ten_two -0.013058 0.016318 -0.800 0.4308
ten_two_unexp -0.006371 0.076400 -0.083 0.9342
ten 0.264127 0.235620 1.121 0.2725
ten_unexp -0.256416 0.266964 -0.960 0.3457
cpi 5.388355 3.228118 1.669 0.1071
cpi_unexp 0.904645 2.921914 0.310 0.7593
jobs 11.357271 5.595403 2.030 0.0527 .
jobs_unexp -17.824515 8.303166 -2.147 0.0413 *
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.06486 on 26 degrees of freedom
Multiple R-Squared: 0.5938, Adjusted R-squared: 0.1563
F-statistic: 1.357 on 28 and 26 DF, p-value: 0.2183
Covariance matrix of residuals:
loans capital
loans 0.0057260 -0.0001379
capital -0.0001379 0.0042073
Correlation matrix of residuals:
loans capital
loans 1.00000 -0.02809
capital -0.02809 1.00000Warning in log(sigma.det): NaNs producedWarning in log(sigma.det): NaNs produced
Warning in log(sigma.det): NaNs producedWarning in log(det(Sigma)): NaNs produced[1] "error"
[1] "error"Warning in xy.coords(x, y, xlabel, ylabel, log): NAs introduced by coercionWarning in min(x): no non-missing arguments to min; returning InfWarning in max(x): no non-missing arguments to max; returning -Inf[1] "error"
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 56
Log Likelihood: 285.737
Roots of the characteristic polynomial:
0.9936 0.9936 0.9751 0.9751 0.9246 0.9246 0.9209 0.9209 0.8897 0.8897 0.8842 0.8842 0.8747 0.8747 0.8622 0.8622 0.8363 0.03836
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.603765 0.171370 -3.523 0.00143 **
capital.l1 0.063716 0.740278 0.086 0.93200
loans.l2 -0.014695 0.185650 -0.079 0.93746
capital.l2 0.153705 0.621794 0.247 0.80650
loans.l3 -0.308901 0.155541 -1.986 0.05656 .
capital.l3 -0.955958 0.643950 -1.485 0.14846
loans.l4 -0.517333 0.163394 -3.166 0.00362 **
capital.l4 -0.405686 0.709200 -0.572 0.57171
loans.l5 0.139915 0.196193 0.713 0.48145
capital.l5 -1.622693 0.638607 -2.541 0.01666 *
loans.l6 0.018046 0.180518 0.100 0.92106
capital.l6 -0.058721 0.637970 -0.092 0.92730
loans.l7 -0.338632 0.172905 -1.958 0.05985 .
capital.l7 0.042634 0.553539 0.077 0.93914
loans.l8 -0.306855 0.163274 -1.879 0.07028 .
capital.l8 0.865584 0.567336 1.526 0.13792
loans.l9 0.143207 0.201747 0.710 0.48347
capital.l9 0.554127 0.565738 0.979 0.33545
const 0.159786 0.055755 2.866 0.00766 **
ten_two -0.056407 0.019894 -2.835 0.00826 **
ten_two_unexp 0.006861 0.049318 0.139 0.89033
ten 0.262274 0.227452 1.153 0.25829
ten_unexp -0.280421 0.254284 -1.103 0.27919
cpi -5.395183 2.877019 -1.875 0.07086 .
cpi_unexp 2.533220 2.402282 1.055 0.30036
jobs -5.246656 3.503654 -1.497 0.14507
jobs_unexp 5.260726 5.977793 0.880 0.38607
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.05707 on 29 degrees of freedom
Multiple R-Squared: 0.6589, Adjusted R-squared: 0.3531
F-statistic: 2.155 on 26 and 29 DF, p-value: 0.02337
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.027691 0.036361 0.762 0.4525
capital.l1 -0.012551 0.157070 -0.080 0.9369
loans.l2 0.027530 0.039391 0.699 0.4902
capital.l2 0.013692 0.131931 0.104 0.9181
loans.l3 0.003001 0.033002 0.091 0.9282
capital.l3 -0.198571 0.136632 -1.453 0.1569
loans.l4 0.037063 0.034668 1.069 0.2939
capital.l4 -0.086859 0.150476 -0.577 0.5682
loans.l5 0.038722 0.041628 0.930 0.3599
capital.l5 -0.233402 0.135498 -1.723 0.0956 .
loans.l6 -0.010198 0.038302 -0.266 0.7919
capital.l6 0.220660 0.135363 1.630 0.1139
loans.l7 0.018430 0.036686 0.502 0.6192
capital.l7 -0.129795 0.117448 -1.105 0.2782
loans.l8 0.079724 0.034643 2.301 0.0288 *
capital.l8 0.061899 0.120376 0.514 0.6110
loans.l9 0.068132 0.042806 1.592 0.1223
capital.l9 0.317278 0.120037 2.643 0.0131 *
const 0.032466 0.011830 2.744 0.0103 *
ten_two -0.011187 0.004221 -2.650 0.0129 *
ten_two_unexp -0.024416 0.010464 -2.333 0.0268 *
ten 0.046144 0.048260 0.956 0.3469
ten_unexp -0.021751 0.053953 -0.403 0.6898
cpi 0.459107 0.610438 0.752 0.4581
cpi_unexp -0.543078 0.509710 -1.065 0.2955
jobs -0.225572 0.743396 -0.303 0.7637
jobs_unexp 0.452308 1.268352 0.357 0.7240
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.01211 on 29 degrees of freedom
Multiple R-Squared: 0.6277, Adjusted R-squared: 0.294
F-statistic: 1.881 on 26 and 29 DF, p-value: 0.05031
Covariance matrix of residuals:
loans capital
loans 3.257e-03 -6.793e-05
capital -6.793e-05 1.466e-04
Correlation matrix of residuals:
loans capital
loans 1.00000 -0.09831
capital -0.09831 1.00000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 20
Log Likelihood: 54.721
Roots of the characteristic polynomial:
0.5424 0.5424
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.10164 0.32465 -0.313 0.761
capital.l1 -0.24202 0.19867 -1.218 0.254
const 0.01960 0.18940 0.104 0.920
ten_two -0.03765 0.05365 -0.702 0.501
ten_two_unexp -0.13406 0.22197 -0.604 0.561
ten -0.34111 0.46480 -0.734 0.482
ten_unexp 0.20912 0.47920 0.436 0.673
cpi 10.15435 11.08775 0.916 0.384
cpi_unexp -3.73626 11.19503 -0.334 0.746
jobs 7.63235 43.94077 0.174 0.866
jobs_unexp -30.47895 43.07509 -0.708 0.497
Residual standard error: 0.08061 on 9 degrees of freedom
Multiple R-Squared: 0.3798, Adjusted R-squared: -0.3094
F-statistic: 0.551 on 10 and 9 DF, p-value: 0.8168
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 1.25657 0.42157 2.981 0.0154 *
capital.l1 0.09763 0.25798 0.378 0.7139
const 0.11875 0.24595 0.483 0.6407
ten_two 0.04502 0.06966 0.646 0.5342
ten_two_unexp 0.21981 0.28823 0.763 0.4652
ten 0.38036 0.60356 0.630 0.5442
ten_unexp -0.47840 0.62227 -0.769 0.4617
cpi -16.08452 14.39804 -1.117 0.2929
cpi_unexp 4.58645 14.53734 0.315 0.7596
jobs -35.19980 57.05943 -0.617 0.5526
jobs_unexp 88.90685 55.93531 1.589 0.1464
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.1047 on 9 degrees of freedom
Multiple R-Squared: 0.5565, Adjusted R-squared: 0.06371
F-statistic: 1.129 on 10 and 9 DF, p-value: 0.4323
Covariance matrix of residuals:
loans capital
loans 0.0064976 -0.0002141
capital -0.0002141 0.0109565
Correlation matrix of residuals:
loans capital
loans 1.00000 -0.02537
capital -0.02537 1.00000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 44
Log Likelihood: 175.075
Roots of the characteristic polynomial:
0.9317 0.9317 0.9144 0.9144 0.8878 0.8878 0.8759 0.8759 0.8698 0.8698 0.85 0.85 0.85 0.85 0.8234 0.8234 0.7774 0.7774 0.6283 0.6283
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.29051 0.28659 1.014 0.3268
capital.l1 0.17948 0.22213 0.808 0.4317
loans.l2 0.10555 0.23650 0.446 0.6618
capital.l2 0.01649 0.19754 0.083 0.9346
loans.l3 0.20759 0.19693 1.054 0.3085
capital.l3 -0.18527 0.17971 -1.031 0.3189
loans.l4 0.11120 0.22248 0.500 0.6244
capital.l4 0.21907 0.13562 1.615 0.1271
loans.l5 0.05927 0.19845 0.299 0.7693
capital.l5 -0.11213 0.14604 -0.768 0.4545
loans.l6 -0.17088 0.21552 -0.793 0.4402
capital.l6 0.20321 0.13227 1.536 0.1453
loans.l7 -0.23719 0.19533 -1.214 0.2434
capital.l7 -0.27106 0.16717 -1.621 0.1257
loans.l8 -0.02943 0.24170 -0.122 0.9047
capital.l8 0.01181 0.18809 0.063 0.9508
loans.l9 0.16967 0.14355 1.182 0.2556
capital.l9 -0.28102 0.14749 -1.905 0.0761 .
loans.l10 -0.08382 0.09374 -0.894 0.3854
capital.l10 -0.08319 0.14771 -0.563 0.5816
const 0.06931 0.05288 1.311 0.2096
ten_two -0.03630 0.02191 -1.657 0.1183
ten_two_unexp -0.06875 0.08555 -0.804 0.4342
ten -0.16946 0.28228 -0.600 0.5573
ten_unexp 0.18311 0.32496 0.563 0.5814
cpi 2.94695 4.11542 0.716 0.4849
cpi_unexp -0.49562 3.67466 -0.135 0.8945
jobs -0.01530 4.94169 -0.003 0.9976
jobs_unexp -10.10592 9.25138 -1.092 0.2919
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.05669 on 15 degrees of freedom
Multiple R-Squared: 0.7948, Adjusted R-squared: 0.4117
F-statistic: 2.075 on 28 and 15 DF, p-value: 0.06973
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.03138 0.28665 -0.109 0.9143
capital.l1 -0.20892 0.22217 -0.940 0.3619
loans.l2 0.13205 0.23655 0.558 0.5849
capital.l2 -0.47459 0.19757 -2.402 0.0297 *
loans.l3 -0.19799 0.19697 -1.005 0.3307
capital.l3 -0.12742 0.17975 -0.709 0.4893
loans.l4 0.27981 0.22252 1.257 0.2278
capital.l4 -0.17148 0.13565 -1.264 0.2255
loans.l5 0.02141 0.19849 0.108 0.9155
capital.l5 -0.01189 0.14607 -0.081 0.9362
loans.l6 0.16993 0.21556 0.788 0.4428
capital.l6 -0.19069 0.13230 -1.441 0.1700
loans.l7 0.03576 0.19537 0.183 0.8572
capital.l7 -0.05335 0.16721 -0.319 0.7541
loans.l8 -0.11465 0.24175 -0.474 0.6421
capital.l8 -0.27981 0.18813 -1.487 0.1576
loans.l9 0.11077 0.14358 0.771 0.4524
capital.l9 0.01636 0.14752 0.111 0.9132
loans.l10 0.06352 0.09376 0.678 0.5084
capital.l10 -0.27135 0.14774 -1.837 0.0861 .
const 0.01457 0.05289 0.276 0.7866
ten_two 0.01336 0.02191 0.610 0.5510
ten_two_unexp 0.03588 0.08557 0.419 0.6809
ten -0.27161 0.28234 -0.962 0.3513
ten_unexp 0.07803 0.32503 0.240 0.8135
cpi 5.38356 4.11620 1.308 0.2106
cpi_unexp -3.62516 3.67536 -0.986 0.3396
jobs -1.11450 4.94263 -0.225 0.8246
jobs_unexp 7.89537 9.25315 0.853 0.4069
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.0567 on 15 degrees of freedom
Multiple R-Squared: 0.5659, Adjusted R-squared: -0.2445
F-statistic: 0.6983 on 28 and 15 DF, p-value: 0.8002
Covariance matrix of residuals:
loans capital
loans 0.0032134 -0.0001012
capital -0.0001012 0.0032146
Correlation matrix of residuals:
loans capital
loans 1.00000 -0.03148
capital -0.03148 1.00000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 62
Log Likelihood: 196.709
Roots of the characteristic polynomial:
0.8724 0.7641 0.7641 0.7594 0.6667 0.6667
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.180199 0.127158 1.417 0.163039
capital.l1 -0.022311 0.031334 -0.712 0.479970
loans.l2 0.058860 0.128137 0.459 0.648098
capital.l2 0.034070 0.031307 1.088 0.282034
loans.l3 0.255809 0.119188 2.146 0.037045 *
capital.l3 -0.054464 0.032581 -1.672 0.101239
const 0.028996 0.017438 1.663 0.102995
ten_two -0.008307 0.006469 -1.284 0.205396
ten_two_unexp -0.011655 0.018808 -0.620 0.538468
ten 0.077377 0.088156 0.878 0.384555
ten_unexp -0.063300 0.094230 -0.672 0.505029
cpi -1.978119 1.130888 -1.749 0.086789 .
cpi_unexp 0.500450 1.021022 0.490 0.626311
jobs 4.655767 1.240422 3.753 0.000479 ***
jobs_unexp -4.361075 2.604085 -1.675 0.100634
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.02837 on 47 degrees of freedom
Multiple R-Squared: 0.6285, Adjusted R-squared: 0.5178
F-statistic: 5.68 on 14 and 47 DF, p-value: 2.985e-06
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.54320 0.51335 -1.058 0.29540
capital.l1 -0.06610 0.12650 -0.523 0.60377
loans.l2 0.93297 0.51730 1.804 0.07772 .
capital.l2 -0.05927 0.12639 -0.469 0.64126
loans.l3 -1.15890 0.48118 -2.408 0.01999 *
capital.l3 -0.42540 0.13153 -3.234 0.00224 **
const 0.05916 0.07040 0.840 0.40499
ten_two -0.01041 0.02611 -0.399 0.69188
ten_two_unexp -0.06838 0.07593 -0.901 0.37238
ten 0.15033 0.35589 0.422 0.67467
ten_unexp 0.06978 0.38042 0.183 0.85526
cpi -2.11571 4.56553 -0.463 0.64521
cpi_unexp 0.08609 4.12199 0.021 0.98343
jobs 16.40929 5.00773 3.277 0.00198 **
jobs_unexp -20.46556 10.51301 -1.947 0.05756 .
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.1145 on 47 degrees of freedom
Multiple R-Squared: 0.383, Adjusted R-squared: 0.1992
F-statistic: 2.084 on 14 and 47 DF, p-value: 0.03078
Covariance matrix of residuals:
loans capital
loans 0.0008047 -0.0002919
capital -0.0002919 0.0131146
Correlation matrix of residuals:
loans capital
loans 1.00000 -0.08986
capital -0.08986 1.00000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 55
Log Likelihood: 333.14
Roots of the characteristic polynomial:
0.9885 0.9885 0.9607 0.9607 0.9474 0.9474 0.9465 0.9267 0.9267 0.9117 0.9117 0.9067 0.9067 0.8834 0.8645 0.8645 0.8065 0.8065 0.6437 0.6437
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.018086 0.191643 0.094 0.926
capital.l1 0.168782 0.275165 0.613 0.545
loans.l2 -0.092227 0.171957 -0.536 0.596
capital.l2 0.059961 0.266487 0.225 0.824
loans.l3 0.132987 0.168519 0.789 0.437
capital.l3 -0.122008 0.311259 -0.392 0.698
loans.l4 -0.088598 0.168074 -0.527 0.603
capital.l4 -0.103041 0.284094 -0.363 0.720
loans.l5 -0.108168 0.195098 -0.554 0.584
capital.l5 -0.292755 0.359483 -0.814 0.423
loans.l6 -0.321502 0.195803 -1.642 0.113
capital.l6 0.301942 0.360963 0.836 0.411
loans.l7 0.169635 0.179394 0.946 0.353
capital.l7 0.105027 0.271859 0.386 0.702
loans.l8 0.322465 0.189324 1.703 0.100
capital.l8 -0.135762 0.287271 -0.473 0.640
loans.l9 -0.115767 0.171194 -0.676 0.505
capital.l9 0.013821 0.288733 0.048 0.962
loans.l10 0.166840 0.170069 0.981 0.336
capital.l10 -0.164723 0.294460 -0.559 0.581
const 0.027496 0.017833 1.542 0.135
ten_two -0.008533 0.005921 -1.441 0.161
ten_two_unexp -0.030960 0.018931 -1.635 0.114
ten 0.134537 0.095526 1.408 0.171
ten_unexp -0.031362 0.092998 -0.337 0.739
cpi -1.284113 1.497993 -0.857 0.399
cpi_unexp -0.540473 1.220676 -0.443 0.662
jobs 0.561102 1.202191 0.467 0.645
jobs_unexp 0.646641 2.610536 0.248 0.806
Residual standard error: 0.02218 on 26 degrees of freedom
Multiple R-Squared: 0.5306, Adjusted R-squared: 0.02508
F-statistic: 1.05 on 28 and 26 DF, p-value: 0.4523
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.039719 0.117276 -0.339 0.7376
capital.l1 -0.148086 0.168387 -0.879 0.3872
loans.l2 0.044501 0.105229 0.423 0.6758
capital.l2 0.095408 0.163076 0.585 0.5636
loans.l3 0.189013 0.103125 1.833 0.0783 .
capital.l3 -0.353341 0.190475 -1.855 0.0750 .
loans.l4 -0.199964 0.102853 -1.944 0.0628 .
capital.l4 0.476978 0.173851 2.744 0.0109 *
loans.l5 0.016656 0.119390 0.140 0.8901
capital.l5 -0.019947 0.219985 -0.091 0.9284
loans.l6 -0.044401 0.119822 -0.371 0.7140
capital.l6 -0.152307 0.220891 -0.690 0.4966
loans.l7 -0.001963 0.109780 -0.018 0.9859
capital.l7 -0.071713 0.166364 -0.431 0.6700
loans.l8 -0.150208 0.115857 -1.296 0.2062
capital.l8 -0.087783 0.175795 -0.499 0.6217
loans.l9 -0.277205 0.104762 -2.646 0.0136 *
capital.l9 -0.244582 0.176690 -1.384 0.1781
loans.l10 -0.231886 0.104073 -2.228 0.0347 *
capital.l10 -0.250715 0.180195 -1.391 0.1759
const 0.028872 0.010913 2.646 0.0136 *
ten_two -0.002727 0.003623 -0.753 0.4584
ten_two_unexp -0.001178 0.011585 -0.102 0.9198
ten -0.093811 0.058457 -1.605 0.1206
ten_unexp 0.073408 0.056910 1.290 0.2084
cpi 1.715547 0.916696 1.871 0.0726 .
cpi_unexp -1.033747 0.746991 -1.384 0.1782
jobs -1.592418 0.735679 -2.165 0.0398 *
jobs_unexp 0.242937 1.597515 0.152 0.8803
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.01357 on 26 degrees of freedom
Multiple R-Squared: 0.8935, Adjusted R-squared: 0.7788
F-statistic: 7.789 on 28 and 26 DF, p-value: 6.134e-07
Covariance matrix of residuals:
loans capital
loans 4.918e-04 8.054e-05
capital 8.054e-05 1.842e-04
Correlation matrix of residuals:
loans capital
loans 1.0000 0.2676
capital 0.2676 1.0000Warning in cor(resids): the standard deviation is zero[1] "error"
[1] "error"Warning in xy.coords(x, y, xlabel, ylabel, log): NAs introduced by coercionWarning in min(x): no non-missing arguments to min; returning InfWarning in max(x): no non-missing arguments to max; returning -Inf[1] "error"
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 64
Log Likelihood: 216.971
Roots of the characteristic polynomial:
0.2917 0.1002
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.2278131 0.1340721 1.699 0.0951 .
capital.l1 0.0993591 0.0814667 1.220 0.2280
const 0.0053590 0.0156867 0.342 0.7340
ten_two -0.0000429 0.0065589 -0.007 0.9948
ten_two_unexp -0.0337896 0.0246247 -1.372 0.1758
ten -0.1301846 0.1176980 -1.106 0.2737
ten_unexp 0.2180007 0.1264240 1.724 0.0905 .
cpi 1.2116000 1.4724751 0.823 0.4143
cpi_unexp -1.2887947 1.3511953 -0.954 0.3445
jobs -1.1323646 1.5621519 -0.725 0.4717
jobs_unexp 0.0998127 3.2410038 0.031 0.9755
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.03913 on 53 degrees of freedom
Multiple R-Squared: 0.156, Adjusted R-squared: -0.003194
F-statistic: 0.9799 on 10 and 53 DF, p-value: 0.4718
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.082056 0.210525 0.390 0.69827
capital.l1 0.164088 0.127922 1.283 0.20517
const -0.005211 0.024632 -0.212 0.83328
ten_two 0.004230 0.010299 0.411 0.68293
ten_two_unexp -0.056577 0.038667 -1.463 0.14932
ten 0.507321 0.184814 2.745 0.00824 **
ten_unexp -0.514298 0.198515 -2.591 0.01234 *
cpi 1.651251 2.312132 0.714 0.47826
cpi_unexp -2.132016 2.121694 -1.005 0.31953
jobs 0.001472 2.452946 0.001 0.99952
jobs_unexp -0.989946 5.089138 -0.195 0.84651
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.06144 on 53 degrees of freedom
Multiple R-Squared: 0.2105, Adjusted R-squared: 0.06153
F-statistic: 1.413 on 10 and 53 DF, p-value: 0.2003
Covariance matrix of residuals:
loans capital
loans 0.0015310 0.0003188
capital 0.0003188 0.0037750
Correlation matrix of residuals:
loans capital
loans 1.0000 0.1326
capital 0.1326 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 36
Log Likelihood: 184.592
Roots of the characteristic polynomial:
1.042 0.9648 0.9648 0.9417 0.9417 0.9242 0.9242 0.9053 0.9053 0.87 0.87 0.6951 0.6951 0.6944 0.6944 0.6715 0.6715 0.5735 0.5735 0.001852
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 8.499e-01 5.295e-01 1.605 0.152
capital.l1 -3.594e-01 3.446e-01 -1.043 0.332
loans.l2 -5.010e-01 4.982e-01 -1.006 0.348
capital.l2 -1.753e-01 3.738e-01 -0.469 0.653
loans.l3 4.072e-01 5.293e-01 0.769 0.467
capital.l3 -1.833e-01 5.223e-01 -0.351 0.736
loans.l4 6.593e-02 4.800e-01 0.137 0.895
capital.l4 -1.678e-01 3.418e-01 -0.491 0.638
loans.l5 5.293e-01 6.280e-01 0.843 0.427
capital.l5 3.617e-02 2.375e-01 0.152 0.883
loans.l6 -4.216e-02 5.136e-01 -0.082 0.937
capital.l6 -2.610e-01 2.269e-01 -1.150 0.288
loans.l7 -1.371e-01 3.687e-01 -0.372 0.721
capital.l7 3.372e-02 2.040e-01 0.165 0.873
loans.l8 -1.208e-01 2.782e-01 -0.434 0.677
capital.l8 -1.551e-01 1.729e-01 -0.897 0.399
loans.l9 -1.261e-01 2.984e-01 -0.423 0.685
capital.l9 2.154e-02 1.362e-01 0.158 0.879
loans.l10 9.249e-05 7.930e-05 1.166 0.282
capital.l10 -7.242e-02 1.586e-01 -0.457 0.662
const 4.554e-03 6.828e-02 0.067 0.949
ten_two 1.679e-02 3.903e-02 0.430 0.680
ten_two_unexp 9.106e-02 1.225e-01 0.743 0.482
ten 1.555e-01 3.150e-01 0.494 0.637
ten_unexp -1.152e-01 3.137e-01 -0.367 0.724
cpi -6.130e+00 6.094e+00 -1.006 0.348
cpi_unexp 2.695e+00 5.041e+00 0.535 0.609
jobs 4.123e-01 1.120e+01 0.037 0.972
jobs_unexp -5.601e+00 1.451e+01 -0.386 0.711
Residual standard error: 0.04326 on 7 degrees of freedom
Multiple R-Squared: 0.9189, Adjusted R-squared: 0.5945
F-statistic: 2.833 on 28 and 7 DF, p-value: 0.0785
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -3.643e-01 5.340e-01 -0.682 0.5170
capital.l1 -1.781e-01 3.476e-01 -0.512 0.6242
loans.l2 -1.429e-01 5.025e-01 -0.284 0.7844
capital.l2 -3.253e-01 3.770e-01 -0.863 0.4169
loans.l3 6.823e-01 5.339e-01 1.278 0.2420
capital.l3 -3.808e-01 5.269e-01 -0.723 0.4933
loans.l4 8.630e-02 4.841e-01 0.178 0.8636
capital.l4 7.645e-02 3.448e-01 0.222 0.8308
loans.l5 -4.849e-01 6.335e-01 -0.765 0.4690
capital.l5 1.150e-01 2.395e-01 0.480 0.6457
loans.l6 8.317e-01 5.181e-01 1.605 0.1524
capital.l6 -4.029e-01 2.288e-01 -1.761 0.1216
loans.l7 -6.554e-01 3.719e-01 -1.762 0.1214
capital.l7 9.656e-03 2.057e-01 0.047 0.9639
loans.l8 -3.782e-01 2.806e-01 -1.348 0.2197
capital.l8 -1.221e-01 1.744e-01 -0.700 0.5065
loans.l9 1.488e-01 3.009e-01 0.495 0.6360
capital.l9 -3.199e-01 1.374e-01 -2.329 0.0527 .
loans.l10 1.349e-04 7.999e-05 1.687 0.1355
capital.l10 2.099e-01 1.600e-01 1.311 0.2311
const 1.653e-02 6.887e-02 0.240 0.8172
ten_two 4.107e-02 3.937e-02 1.043 0.3315
ten_two_unexp -6.173e-02 1.236e-01 -0.499 0.6328
ten 5.262e-01 3.177e-01 1.656 0.1417
ten_unexp -4.598e-01 3.164e-01 -1.453 0.1894
cpi -5.655e+00 6.146e+00 -0.920 0.3881
cpi_unexp 8.767e+00 5.084e+00 1.724 0.1283
jobs -6.380e+00 1.129e+01 -0.565 0.5898
jobs_unexp -9.331e+00 1.464e+01 -0.637 0.5441
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.04363 on 7 degrees of freedom
Multiple R-Squared: 0.9434, Adjusted R-squared: 0.7171
F-statistic: 4.169 on 28 and 7 DF, p-value: 0.02862
Covariance matrix of residuals:
loans capital
loans 0.0018713 0.0006108
capital 0.0006108 0.0019038
Correlation matrix of residuals:
loans capital
loans 1.0000 0.3236
capital 0.3236 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 36
Log Likelihood: 63.374
Roots of the characteristic polynomial:
1.03 1.03 1.026 1.026 0.9721 0.9721 0.9712 0.9712 0.9572 0.9572 0.914 0.914 0.8792 0.8792 0.8578 0.8578 0.8289 0.7622 0.7622 0.4694
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.128002 0.312051 -0.410 0.69393
capital.l1 0.002433 0.011329 0.215 0.83609
loans.l2 0.584109 0.307397 1.900 0.09918 .
capital.l2 0.065684 0.011257 5.835 0.00064 ***
loans.l3 0.761363 0.424070 1.795 0.11567
capital.l3 0.085142 0.019637 4.336 0.00341 **
loans.l4 0.797220 0.318017 2.507 0.04058 *
capital.l4 -0.056491 0.026652 -2.120 0.07177 .
loans.l5 -0.309916 0.344831 -0.899 0.39865
capital.l5 -0.108647 0.045633 -2.381 0.04882 *
loans.l6 -0.678453 0.388343 -1.747 0.12413
capital.l6 -0.110499 0.053945 -2.048 0.07972 .
loans.l7 -0.302848 0.215432 -1.406 0.20259
capital.l7 -0.021754 0.031099 -0.700 0.50680
loans.l8 -0.531600 0.162842 -3.265 0.01378 *
capital.l8 0.094745 0.039493 2.399 0.04754 *
loans.l9 -0.070013 0.128922 -0.543 0.60394
capital.l9 0.107288 0.037375 2.871 0.02397 *
loans.l10 0.090980 0.079618 1.143 0.29073
capital.l10 0.069099 0.022914 3.016 0.01951 *
const 0.036620 0.058494 0.626 0.55114
ten_two -0.023279 0.023057 -1.010 0.34629
ten_two_unexp 0.169366 0.132377 1.279 0.24152
ten 0.517271 0.373294 1.386 0.20838
ten_unexp -0.796416 0.540453 -1.474 0.18408
cpi 1.973298 4.463274 0.442 0.67174
cpi_unexp 3.157949 5.219751 0.605 0.56427
jobs -9.469540 5.560564 -1.703 0.13235
jobs_unexp -5.606821 7.411445 -0.757 0.47403
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.04148 on 7 degrees of freedom
Multiple R-Squared: 0.9787, Adjusted R-squared: 0.8934
F-statistic: 11.48 on 28 and 7 DF, p-value: 0.001347
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 3.08126 9.44310 0.326 0.7537
capital.l1 -0.21460 0.34282 -0.626 0.5512
loans.l2 12.12974 9.30225 1.304 0.2335
capital.l2 -0.32126 0.34064 -0.943 0.3770
loans.l3 9.68047 12.83295 0.754 0.4752
capital.l3 -0.04767 0.59424 -0.080 0.9383
loans.l4 3.86561 9.62363 0.402 0.6999
capital.l4 -1.46338 0.80653 -1.814 0.1125
loans.l5 -13.72930 10.43506 -1.316 0.2297
capital.l5 -1.12558 1.38091 -0.815 0.4419
loans.l6 -14.67555 11.75180 -1.249 0.2519
capital.l6 -0.72215 1.63246 -0.442 0.6716
loans.l7 -1.05273 6.51928 -0.161 0.8763
capital.l7 0.79856 0.94109 0.849 0.4242
loans.l8 -8.20333 4.92782 -1.665 0.1399
capital.l8 2.41202 1.19512 2.018 0.0833 .
loans.l9 -0.12782 3.90136 -0.033 0.9748
capital.l9 1.54615 1.13101 1.367 0.2139
loans.l10 2.13278 2.40935 0.885 0.4054
capital.l10 0.54316 0.69340 0.783 0.4591
const -2.02494 1.77012 -1.144 0.2902
ten_two 0.78295 0.69773 1.122 0.2988
ten_two_unexp 8.69324 4.00592 2.170 0.0666 .
ten 4.69510 11.29639 0.416 0.6901
ten_unexp -15.51833 16.35485 -0.949 0.3743
cpi -186.98134 135.06474 -1.384 0.2088
cpi_unexp 232.03900 157.95676 1.469 0.1853
jobs 93.88956 168.27022 0.558 0.5943
jobs_unexp -483.86618 224.28041 -2.157 0.0679 .
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 1.255 on 7 degrees of freedom
Multiple R-Squared: 0.7423, Adjusted R-squared: -0.2887
F-statistic: 0.7199 on 28 and 7 DF, p-value: 0.7512
Covariance matrix of residuals:
loans capital
loans 0.001721 0.005517
capital 0.005517 1.575953
Correlation matrix of residuals:
loans capital
loans 1.0000 0.1059
capital 0.1059 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 36
Log Likelihood: 159.655
Roots of the characteristic polynomial:
0.9712 0.9712 0.9709 0.9709 0.9494 0.9418 0.9418 0.9313 0.9313 0.9271 0.9271 0.883 0.883 0.8669 0.8669 0.763 0.763 0.7234 0.7234 0.08649
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.51597 0.75497 -0.683 0.5163
capital.l1 0.36507 1.11584 0.327 0.7531
loans.l2 0.32766 0.68609 0.478 0.6475
capital.l2 -0.26572 1.02501 -0.259 0.8029
loans.l3 0.19006 0.61044 0.311 0.7646
capital.l3 -0.12314 1.00614 -0.122 0.9060
loans.l4 0.04783 0.65096 0.073 0.9435
capital.l4 -0.63319 1.15360 -0.549 0.6001
loans.l5 -0.42725 0.61412 -0.696 0.5090
capital.l5 0.30394 1.03349 0.294 0.7772
loans.l6 -0.02204 0.52028 -0.042 0.9674
capital.l6 0.14719 0.89649 0.164 0.8742
loans.l7 -0.27112 0.43224 -0.627 0.5504
capital.l7 0.53504 0.80000 0.669 0.5251
loans.l8 -0.42796 0.40063 -1.068 0.3209
capital.l8 0.20939 0.53198 0.394 0.7056
loans.l9 -0.27514 0.33097 -0.831 0.4332
capital.l9 0.27979 0.50873 0.550 0.5994
loans.l10 -0.02785 0.16713 -0.167 0.8724
capital.l10 -0.28182 0.35608 -0.791 0.4547
const -0.15182 0.15124 -1.004 0.3489
ten_two 0.07986 0.05704 1.400 0.2042
ten_two_unexp 0.24580 0.23236 1.058 0.3253
ten 0.51551 0.50297 1.025 0.3395
ten_unexp -0.74373 0.66535 -1.118 0.3005
cpi 13.01174 12.20987 1.066 0.3219
cpi_unexp -5.01306 11.30105 -0.444 0.6707
jobs 9.22351 14.31881 0.644 0.5400
jobs_unexp -45.04664 18.93391 -2.379 0.0489 *
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.1123 on 7 degrees of freedom
Multiple R-Squared: 0.8384, Adjusted R-squared: 0.1922
F-statistic: 1.297 on 28 and 7 DF, p-value: 0.3835
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.16854 0.52792 -0.319 0.759
capital.l1 0.12619 0.78026 0.162 0.876
loans.l2 0.18208 0.47975 0.380 0.716
capital.l2 -0.52293 0.71674 -0.730 0.489
loans.l3 0.21824 0.42685 0.511 0.625
capital.l3 -0.30227 0.70355 -0.430 0.680
loans.l4 0.33380 0.45519 0.733 0.487
capital.l4 -0.63093 0.80666 -0.782 0.460
loans.l5 -0.49528 0.42942 -1.153 0.287
capital.l5 0.50352 0.72267 0.697 0.508
loans.l6 -0.07734 0.36381 -0.213 0.838
capital.l6 -0.07349 0.62687 -0.117 0.910
loans.l7 -0.31784 0.30224 -1.052 0.328
capital.l7 0.83919 0.55941 1.500 0.177
loans.l8 -0.35234 0.28015 -1.258 0.249
capital.l8 0.37299 0.37199 1.003 0.349
loans.l9 -0.40140 0.23143 -1.734 0.126
capital.l9 0.49367 0.35573 1.388 0.208
loans.l10 -0.03404 0.11687 -0.291 0.779
capital.l10 -0.03499 0.24899 -0.141 0.892
const -0.12399 0.10575 -1.172 0.279
ten_two 0.06692 0.03988 1.678 0.137
ten_two_unexp 0.15293 0.16248 0.941 0.378
ten 0.39341 0.35170 1.119 0.300
ten_unexp -0.56644 0.46525 -1.218 0.263
cpi 10.07947 8.53781 1.181 0.276
cpi_unexp -10.55428 7.90232 -1.336 0.223
jobs 5.46086 10.01250 0.545 0.602
jobs_unexp -23.01501 13.23963 -1.738 0.126
Residual standard error: 0.07855 on 7 degrees of freedom
Multiple R-Squared: 0.7471, Adjusted R-squared: -0.2646
F-statistic: 0.7384 on 28 and 7 DF, p-value: 0.737
Covariance matrix of residuals:
loans capital
loans 0.012619 0.008069
capital 0.008069 0.006170
Correlation matrix of residuals:
loans capital
loans 1.0000 0.9145
capital 0.9145 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 55
Log Likelihood: 231.021
Roots of the characteristic polynomial:
0.9224 0.9224 0.8744 0.8421 0.8421 0.8112 0.8112 0.8065 0.8065 0.7919 0.7652 0.7652 0.7371 0.7371 0.7089 0.7089 0.6204 0.522 0.522 0.5206
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.174817 0.185088 -0.945 0.3536
capital.l1 0.373729 0.475134 0.787 0.4386
loans.l2 -0.364117 0.219041 -1.662 0.1085
capital.l2 0.052916 0.403023 0.131 0.8966
loans.l3 -0.281207 0.251685 -1.117 0.2741
capital.l3 0.265951 0.346245 0.768 0.4493
loans.l4 -0.005801 0.246014 -0.024 0.9814
capital.l4 -0.036303 0.285350 -0.127 0.8997
loans.l5 -0.142647 0.222051 -0.642 0.5262
capital.l5 0.057688 0.198005 0.291 0.7731
loans.l6 -0.295271 0.238122 -1.240 0.2261
capital.l6 0.077705 0.180223 0.431 0.6699
loans.l7 -0.150720 0.229637 -0.656 0.5174
capital.l7 0.140718 0.151852 0.927 0.3626
loans.l8 0.009134 0.167372 0.055 0.9569
capital.l8 0.063141 0.103337 0.611 0.5465
loans.l9 -0.065585 0.170796 -0.384 0.7041
capital.l9 0.007886 0.099991 0.079 0.9377
loans.l10 -0.051977 0.168535 -0.308 0.7602
capital.l10 0.051501 0.116365 0.443 0.6617
const 0.115758 0.084192 1.375 0.1809
ten_two -0.030800 0.036744 -0.838 0.4095
ten_two_unexp -0.155896 0.062044 -2.513 0.0185 *
ten -0.491863 0.280764 -1.752 0.0916 .
ten_unexp 0.716576 0.312334 2.294 0.0301 *
cpi 0.142216 3.666474 0.039 0.9694
cpi_unexp 0.564315 3.349865 0.168 0.8675
jobs -7.022369 5.088943 -1.380 0.1794
jobs_unexp 9.352217 9.823716 0.952 0.3499
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.07358 on 26 degrees of freedom
Multiple R-Squared: 0.6424, Adjusted R-squared: 0.2572
F-statistic: 1.668 on 28 and 26 DF, p-value: 0.09679
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.014459 0.063620 0.227 0.82199
capital.l1 0.195811 0.163317 1.199 0.24136
loans.l2 0.010184 0.075291 0.135 0.89344
capital.l2 -0.113179 0.138531 -0.817 0.42136
loans.l3 0.087714 0.086512 1.014 0.31998
capital.l3 -0.379483 0.119015 -3.189 0.00371 **
loans.l4 0.035057 0.084562 0.415 0.68186
capital.l4 0.160973 0.098083 1.641 0.11280
loans.l5 0.167460 0.076325 2.194 0.03737 *
capital.l5 -0.099030 0.068060 -1.455 0.15763
loans.l6 0.078243 0.081850 0.956 0.34791
capital.l6 -0.080397 0.061948 -1.298 0.20575
loans.l7 0.087891 0.078933 1.113 0.27569
capital.l7 0.072377 0.052196 1.387 0.17733
loans.l8 0.170301 0.057531 2.960 0.00648 **
capital.l8 -0.025003 0.035520 -0.704 0.48774
loans.l9 0.078903 0.058708 1.344 0.19056
capital.l9 -0.084974 0.034370 -2.472 0.02028 *
loans.l10 -0.013642 0.057930 -0.235 0.81568
capital.l10 0.061937 0.039998 1.548 0.13359
const -0.014340 0.028939 -0.496 0.62440
ten_two 0.023976 0.012630 1.898 0.06880 .
ten_two_unexp -0.009229 0.021326 -0.433 0.66878
ten -0.042540 0.096507 -0.441 0.66300
ten_unexp 0.027145 0.107358 0.253 0.80238
cpi -0.524372 1.260275 -0.416 0.68077
cpi_unexp 2.518633 1.151447 2.187 0.03790 *
jobs -2.379985 1.749219 -1.361 0.18532
jobs_unexp 7.834444 3.376699 2.320 0.02845 *
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.02529 on 26 degrees of freedom
Multiple R-Squared: 0.9613, Adjusted R-squared: 0.9197
F-statistic: 23.1 on 28 and 26 DF, p-value: 2.78e-12
Covariance matrix of residuals:
loans capital
loans 0.0054140 -0.0001277
capital -0.0001277 0.0006397
Correlation matrix of residuals:
loans capital
loans 1.00000 -0.06862
capital -0.06862 1.00000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 20
Log Likelihood: 116.771
Roots of the characteristic polynomial:
0.1246 0.009577
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.136913 0.324945 0.421 0.683
capital.l1 -0.123267 0.252921 -0.487 0.638
const 0.001451 0.037270 0.039 0.970
ten_two -0.007522 0.010393 -0.724 0.488
ten_two_unexp 0.008682 0.041462 0.209 0.839
ten -0.019463 0.090716 -0.215 0.835
ten_unexp 0.018464 0.096641 0.191 0.853
cpi -1.676172 2.327687 -0.720 0.490
cpi_unexp 0.816401 2.472593 0.330 0.749
jobs 2.424704 8.884207 0.273 0.791
jobs_unexp 1.008293 7.100764 0.142 0.890
Residual standard error: 0.01579 on 9 degrees of freedom
Multiple R-Squared: 0.2322, Adjusted R-squared: -0.6209
F-statistic: 0.2722 on 10 and 9 DF, p-value: 0.9726
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.310747 0.495731 0.627 0.546
capital.l1 -0.271062 0.385852 -0.703 0.500
const -0.023676 0.056859 -0.416 0.687
ten_two 0.002183 0.015856 0.138 0.894
ten_two_unexp 0.006635 0.063253 0.105 0.919
ten 0.189827 0.138395 1.372 0.203
ten_unexp -0.252124 0.147434 -1.710 0.121
cpi -3.489161 3.551079 -0.983 0.351
cpi_unexp 3.740848 3.772144 0.992 0.347
jobs 12.677100 13.553591 0.935 0.374
jobs_unexp -10.652953 10.832801 -0.983 0.351
Residual standard error: 0.02409 on 9 degrees of freedom
Multiple R-Squared: 0.3695, Adjusted R-squared: -0.331
F-statistic: 0.5275 on 10 and 9 DF, p-value: 0.8334
Covariance matrix of residuals:
loans capital
loans 2.492e-04 3.044e-05
capital 3.044e-05 5.801e-04
Correlation matrix of residuals:
loans capital
loans 1.00000 0.08006
capital 0.08006 1.00000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 64
Log Likelihood: 159.693
Roots of the characteristic polynomial:
0.2976 0.03094
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.304050 0.133892 2.271 0.0272 *
capital.l1 0.008232 0.060169 0.137 0.8917
const 0.031693 0.019801 1.601 0.1154
ten_two -0.004639 0.008391 -0.553 0.5827
ten_two_unexp -0.011659 0.031547 -0.370 0.7132
ten 0.158831 0.149032 1.066 0.2914
ten_unexp -0.195311 0.158525 -1.232 0.2234
cpi 0.268199 1.918146 0.140 0.8893
cpi_unexp 0.780694 1.761541 0.443 0.6594
jobs -1.776217 2.015296 -0.881 0.3821
jobs_unexp 3.685762 4.343958 0.848 0.4000
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.04973 on 53 degrees of freedom
Multiple R-Squared: 0.1482, Adjusted R-squared: -0.01251
F-statistic: 0.9222 on 10 and 53 DF, p-value: 0.5204
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.214419 0.316637 -0.677 0.501
capital.l1 0.024473 0.142292 0.172 0.864
const 0.035606 0.046828 0.760 0.450
ten_two 0.017153 0.019845 0.864 0.391
ten_two_unexp -0.007787 0.074604 -0.104 0.917
ten 0.160292 0.352439 0.455 0.651
ten_unexp -0.256394 0.374889 -0.684 0.497
cpi -5.151786 4.536145 -1.136 0.261
cpi_unexp 1.739514 4.165795 0.418 0.678
jobs 3.296844 4.765890 0.692 0.492
jobs_unexp 9.619934 10.272847 0.936 0.353
Residual standard error: 0.1176 on 53 degrees of freedom
Multiple R-Squared: 0.1274, Adjusted R-squared: -0.03722
F-statistic: 0.7739 on 10 and 53 DF, p-value: 0.6529
Covariance matrix of residuals:
loans capital
loans 0.0024730 0.0004427
capital 0.0004427 0.0138302
Correlation matrix of residuals:
loans capital
loans 1.00000 0.07569
capital 0.07569 1.00000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 64
Log Likelihood: 333.357
Roots of the characteristic polynomial:
0.04287 0.04287
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.057532 0.137788 0.418 0.6780
capital.l1 -1.199874 1.023035 -1.173 0.2461
const 0.020419 0.022927 0.891 0.3772
ten_two 0.009801 0.009435 1.039 0.3036
ten_two_unexp 0.016569 0.034271 0.483 0.6308
ten 0.079223 0.160398 0.494 0.6234
ten_unexp -0.152218 0.172903 -0.880 0.3826
cpi -3.864080 2.065816 -1.870 0.0669 .
cpi_unexp 2.413487 1.881037 1.283 0.2051
jobs -4.241858 2.361825 -1.796 0.0782 .
jobs_unexp 0.932566 4.725215 0.197 0.8443
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.05462 on 53 degrees of freedom
Multiple R-Squared: 0.3296, Adjusted R-squared: 0.2031
F-statistic: 2.606 on 10 and 53 DF, p-value: 0.01187
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.0046461 0.0179694 0.259 0.7970
capital.l1 -0.0649570 0.1334168 -0.487 0.6284
const 0.0033616 0.0029899 1.124 0.2660
ten_two 0.0007314 0.0012304 0.594 0.5548
ten_two_unexp -0.0043008 0.0044694 -0.962 0.3403
ten 0.0236263 0.0209180 1.129 0.2638
ten_unexp -0.0097940 0.0225488 -0.434 0.6658
cpi 0.2467386 0.2694089 0.916 0.3639
cpi_unexp -0.4276283 0.2453114 -1.743 0.0871 .
jobs 0.1789786 0.3080123 0.581 0.5637
jobs_unexp -0.3668734 0.6162286 -0.595 0.5541
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.007123 on 53 degrees of freedom
Multiple R-Squared: 0.1275, Adjusted R-squared: -0.03713
F-statistic: 0.7745 on 10 and 53 DF, p-value: 0.6524
Covariance matrix of residuals:
loans capital
loans 2.983e-03 -4.295e-05
capital -4.295e-05 5.073e-05
Correlation matrix of residuals:
loans capital
loans 1.0000 -0.1104
capital -0.1104 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 64
Log Likelihood: 260.699
Roots of the characteristic polynomial:
0.2376 0.1291
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.211792 0.133824 -1.583 0.11946
capital.l1 0.202931 0.095927 2.115 0.03911 *
const 0.034638 0.012436 2.785 0.00740 **
ten_two -0.017568 0.005367 -3.273 0.00187 **
ten_two_unexp -0.014993 0.018746 -0.800 0.42742
ten -0.073673 0.087670 -0.840 0.40449
ten_unexp 0.008108 0.093469 0.087 0.93120
cpi 2.867456 1.142149 2.511 0.01514 *
cpi_unexp -1.274266 1.064009 -1.198 0.23640
jobs -2.687137 1.204882 -2.230 0.02999 *
jobs_unexp 2.787470 2.469608 1.129 0.26410
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.02972 on 53 degrees of freedom
Multiple R-Squared: 0.3287, Adjusted R-squared: 0.2021
F-statistic: 2.595 on 10 and 53 DF, p-value: 0.01217
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.010530 0.185266 0.057 0.955
capital.l1 -0.154983 0.132801 -1.167 0.248
const 0.016962 0.017216 0.985 0.329
ten_two 0.007479 0.007430 1.007 0.319
ten_two_unexp -0.013707 0.025952 -0.528 0.600
ten 0.180220 0.121370 1.485 0.143
ten_unexp -0.148932 0.129398 -1.151 0.255
cpi -0.983684 1.581189 -0.622 0.537
cpi_unexp 1.132162 1.473012 0.769 0.446
jobs -0.485082 1.668037 -0.291 0.772
jobs_unexp -2.868746 3.418922 -0.839 0.405
Residual standard error: 0.04114 on 53 degrees of freedom
Multiple R-Squared: 0.12, Adjusted R-squared: -0.04608
F-statistic: 0.7225 on 10 and 53 DF, p-value: 0.6997
Covariance matrix of residuals:
loans capital
loans 0.0008833 0.0002178
capital 0.0002178 0.0016929
Correlation matrix of residuals:
loans capital
loans 1.0000 0.1781
capital 0.1781 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 55
Log Likelihood: 309.386
Roots of the characteristic polynomial:
0.9646 0.9646 0.9547 0.9547 0.9224 0.9224 0.9207 0.9149 0.9149 0.914 0.914 0.8877 0.8877 0.8386 0.8114 0.8114 0.8072 0.8072 0.7515 0.6867
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.367161 0.195750 1.876 0.072 .
capital.l1 0.323064 0.254092 1.271 0.215
loans.l2 0.054372 0.221800 0.245 0.808
capital.l2 0.135553 0.205867 0.658 0.516
loans.l3 0.117013 0.214212 0.546 0.590
capital.l3 -0.003448 0.178696 -0.019 0.985
loans.l4 -0.006418 0.214126 -0.030 0.976
capital.l4 0.249888 0.178192 1.402 0.173
loans.l5 0.029014 0.224725 0.129 0.898
capital.l5 0.266501 0.184207 1.447 0.160
loans.l6 0.075074 0.234468 0.320 0.751
capital.l6 -0.270755 0.165410 -1.637 0.114
loans.l7 -0.033546 0.237832 -0.141 0.889
capital.l7 -0.083878 0.145003 -0.578 0.568
loans.l8 -0.009328 0.238571 -0.039 0.969
capital.l8 0.199595 0.131683 1.516 0.142
loans.l9 0.134752 0.237222 0.568 0.575
capital.l9 -0.141114 0.178297 -0.791 0.436
loans.l10 -0.135750 0.203284 -0.668 0.510
capital.l10 -0.126807 0.150270 -0.844 0.406
const 0.018585 0.022922 0.811 0.425
ten_two -0.014905 0.009642 -1.546 0.134
ten_two_unexp 0.001813 0.027798 0.065 0.948
ten -0.151901 0.112424 -1.351 0.188
ten_unexp 0.192518 0.133320 1.444 0.161
cpi -1.802668 1.449518 -1.244 0.225
cpi_unexp 0.822701 1.416923 0.581 0.566
jobs 2.398114 1.816848 1.320 0.198
jobs_unexp -2.795691 2.803771 -0.997 0.328
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.02788 on 26 degrees of freedom
Multiple R-Squared: 0.8005, Adjusted R-squared: 0.5858
F-statistic: 3.727 on 28 and 26 DF, p-value: 0.0005868
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.101768 0.118177 -0.861 0.39703
capital.l1 -0.213888 0.153399 -1.394 0.17502
loans.l2 0.017199 0.133904 0.128 0.89879
capital.l2 0.107830 0.124285 0.868 0.39355
loans.l3 0.085734 0.129323 0.663 0.51320
capital.l3 -0.311026 0.107882 -2.883 0.00780 **
loans.l4 0.389813 0.129272 3.015 0.00567 **
capital.l4 -0.202731 0.107578 -1.885 0.07072 .
loans.l5 -0.432980 0.135670 -3.191 0.00368 **
capital.l5 0.183196 0.111209 1.647 0.11153
loans.l6 0.319789 0.141552 2.259 0.03249 *
capital.l6 -0.050459 0.099861 -0.505 0.61761
loans.l7 -0.131459 0.143583 -0.916 0.36831
capital.l7 -0.096678 0.087541 -1.104 0.27955
loans.l8 -0.117888 0.144030 -0.819 0.42051
capital.l8 0.426271 0.079499 5.362 1.3e-05 ***
loans.l9 -0.140334 0.143215 -0.980 0.33617
capital.l9 0.154301 0.107641 1.433 0.16364
loans.l10 0.416402 0.122726 3.393 0.00222 **
capital.l10 -0.111587 0.090721 -1.230 0.22971
const 0.011103 0.013838 0.802 0.42962
ten_two 0.001060 0.005821 0.182 0.85692
ten_two_unexp -0.002596 0.016782 -0.155 0.87827
ten -0.028275 0.067872 -0.417 0.68040
ten_unexp 0.090295 0.080487 1.122 0.27218
cpi 1.661569 0.875098 1.899 0.06875 .
cpi_unexp -0.553028 0.855420 -0.646 0.52362
jobs 0.824302 1.096862 0.752 0.45910
jobs_unexp 1.025046 1.692684 0.606 0.55005
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.01683 on 26 degrees of freedom
Multiple R-Squared: 0.845, Adjusted R-squared: 0.6781
F-statistic: 5.062 on 28 and 26 DF, p-value: 4.163e-05
Covariance matrix of residuals:
loans capital
loans 0.0007772 0.0001438
capital 0.0001438 0.0002833
Correlation matrix of residuals:
loans capital
loans 1.0000 0.3066
capital 0.3066 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 38
Log Likelihood: 185.028
Roots of the characteristic polynomial:
1.072 1.072 0.9959 0.993 0.993 0.9545 0.9545 0.9319 0.9319 0.9261 0.9261 0.8984 0.8984 0.863 0.863 0.8464 0.8101 0.8101 0.4998 0.4998
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.30777 0.23037 -1.336 0.21436
capital.l1 0.85413 0.45559 1.875 0.09358 .
loans.l2 0.21156 0.32405 0.653 0.53016
capital.l2 -0.47306 0.64551 -0.733 0.48230
loans.l3 -0.37228 0.28188 -1.321 0.21919
capital.l3 -0.35817 0.46566 -0.769 0.46150
loans.l4 -0.16008 0.20647 -0.775 0.45805
capital.l4 -0.00145 0.45058 -0.003 0.99750
loans.l5 0.13208 0.26918 0.491 0.63541
capital.l5 0.43065 0.35642 1.208 0.25773
loans.l6 0.14460 0.21716 0.666 0.52218
capital.l6 0.18868 0.33389 0.565 0.58582
loans.l7 0.22974 0.21089 1.089 0.30429
capital.l7 0.28611 0.36352 0.787 0.45147
loans.l8 -0.39706 0.20915 -1.898 0.09011 .
capital.l8 -0.57026 0.40833 -1.397 0.19602
loans.l9 -0.16497 0.18984 -0.869 0.40743
capital.l9 -0.80053 0.41186 -1.944 0.08381 .
loans.l10 0.40797 0.15641 2.608 0.02835 *
capital.l10 -0.27190 0.33333 -0.816 0.43573
const 0.21771 0.06337 3.436 0.00744 **
ten_two -0.10122 0.02896 -3.495 0.00677 **
ten_two_unexp 0.20758 0.10760 1.929 0.08579 .
ten -0.32092 0.31574 -1.016 0.33598
ten_unexp -0.24771 0.29514 -0.839 0.42304
cpi 2.42502 5.83860 0.415 0.68762
cpi_unexp -3.48191 4.16978 -0.835 0.42531
jobs -18.29504 9.36869 -1.953 0.08260 .
jobs_unexp 32.50575 13.92643 2.334 0.04445 *
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.05317 on 9 degrees of freedom
Multiple R-Squared: 0.8814, Adjusted R-squared: 0.5125
F-statistic: 2.389 on 28 and 9 DF, p-value: 0.08585
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.008218 0.155739 0.053 0.9591
capital.l1 -0.189488 0.307991 -0.615 0.5536
loans.l2 -0.047129 0.219068 -0.215 0.8345
capital.l2 0.134493 0.436380 0.308 0.7649
loans.l3 -0.211878 0.190559 -1.112 0.2950
capital.l3 -0.063633 0.314801 -0.202 0.8443
loans.l4 0.186851 0.139582 1.339 0.2135
capital.l4 0.201515 0.304601 0.662 0.5248
loans.l5 0.038750 0.181974 0.213 0.8361
capital.l5 0.022135 0.240950 0.092 0.9288
loans.l6 -0.310477 0.146804 -2.115 0.0636 .
capital.l6 -0.450837 0.225722 -1.997 0.0769 .
loans.l7 0.142134 0.142565 0.997 0.3448
capital.l7 -0.043234 0.245746 -0.176 0.8642
loans.l8 0.102525 0.141390 0.725 0.4868
capital.l8 -0.228464 0.276039 -0.828 0.4293
loans.l9 0.008678 0.128338 0.068 0.9476
capital.l9 -0.205914 0.278431 -0.740 0.4784
loans.l10 -0.119720 0.105740 -1.132 0.2868
capital.l10 -0.076813 0.225343 -0.341 0.7410
const 0.070009 0.042837 1.634 0.1366
ten_two -0.027846 0.019578 -1.422 0.1887
ten_two_unexp -0.033175 0.072740 -0.456 0.6591
ten -0.270864 0.213445 -1.269 0.2363
ten_unexp 0.325107 0.199526 1.629 0.1377
cpi 3.399165 3.947045 0.861 0.4115
cpi_unexp -4.898753 2.818876 -1.738 0.1162
jobs -8.563154 6.333476 -1.352 0.2094
jobs_unexp 13.047244 9.414628 1.386 0.1992
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.03594 on 9 degrees of freedom
Multiple R-Squared: 0.8302, Adjusted R-squared: 0.3021
F-statistic: 1.572 on 28 and 9 DF, p-value: 0.2433
Covariance matrix of residuals:
loans capital
loans 0.0028270 0.0002188
capital 0.0002188 0.0012920
Correlation matrix of residuals:
loans capital
loans 1.0000 0.1145
capital 0.1145 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 55
Log Likelihood: 186.94
Roots of the characteristic polynomial:
0.9659 0.9659 0.9514 0.9514 0.9241 0.9241 0.9132 0.9132 0.9061 0.9061 0.889 0.889 0.8702 0.8702 0.8459 0.8371 0.8371 0.7951 0.7951 0.7388
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.682909 0.188938 3.614 0.00127 **
capital.l1 -0.454263 0.171762 -2.645 0.01368 *
loans.l2 0.037144 0.187031 0.199 0.84412
capital.l2 0.126652 0.141269 0.897 0.37820
loans.l3 0.213425 0.185206 1.152 0.25966
capital.l3 0.218512 0.141888 1.540 0.13564
loans.l4 -0.007306 0.209159 -0.035 0.97240
capital.l4 0.205686 0.102651 2.004 0.05562 .
loans.l5 0.010475 0.207025 0.051 0.96003
capital.l5 -0.106195 0.096705 -1.098 0.28221
loans.l6 -0.331193 0.209279 -1.583 0.12562
capital.l6 0.028490 0.089512 0.318 0.75281
loans.l7 -0.013141 0.218845 -0.060 0.95258
capital.l7 0.096200 0.096815 0.994 0.32955
loans.l8 0.254648 0.194352 1.310 0.20157
capital.l8 -0.038853 0.100742 -0.386 0.70288
loans.l9 0.072325 0.207817 0.348 0.73063
capital.l9 0.054500 0.095436 0.571 0.57286
loans.l10 -0.345829 0.217722 -1.588 0.12428
capital.l10 0.162525 0.084915 1.914 0.06669 .
const -0.031127 0.043648 -0.713 0.48212
ten_two -0.009893 0.015111 -0.655 0.51842
ten_two_unexp 0.074246 0.062369 1.190 0.24463
ten -0.681916 0.241242 -2.827 0.00893 **
ten_unexp 0.897097 0.258071 3.476 0.00180 **
cpi 6.178752 3.415850 1.809 0.08205 .
cpi_unexp -8.399197 3.387108 -2.480 0.01995 *
jobs 2.365612 5.236547 0.452 0.65519
jobs_unexp -5.220641 6.292521 -0.830 0.41429
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.05558 on 26 degrees of freedom
Multiple R-Squared: 0.7589, Adjusted R-squared: 0.4993
F-statistic: 2.923 on 28 and 26 DF, p-value: 0.003722
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.240800 0.253067 0.952 0.350100
capital.l1 -1.095351 0.230062 -4.761 6.31e-05 ***
loans.l2 0.007487 0.250513 0.030 0.976387
capital.l2 -0.398636 0.189219 -2.107 0.044942 *
loans.l3 1.064135 0.248069 4.290 0.000219 ***
capital.l3 -0.526073 0.190048 -2.768 0.010253 *
loans.l4 0.358281 0.280151 1.279 0.212235
capital.l4 -0.196471 0.137492 -1.429 0.164920
loans.l5 -0.260552 0.277294 -0.940 0.356058
capital.l5 -0.319000 0.129529 -2.463 0.020727 *
loans.l6 -0.554411 0.280313 -1.978 0.058637 .
capital.l6 -0.239065 0.119894 -1.994 0.056742 .
loans.l7 0.196435 0.293125 0.670 0.508677
capital.l7 -0.269064 0.129676 -2.075 0.048031 *
loans.l8 0.278252 0.260319 1.069 0.294945
capital.l8 -0.414326 0.134936 -3.071 0.004956 **
loans.l9 0.659008 0.278355 2.368 0.025632 *
capital.l9 -0.115211 0.127829 -0.901 0.375711
loans.l10 0.234790 0.291621 0.805 0.428051
capital.l10 0.126299 0.113736 1.110 0.276969
const 0.072491 0.058463 1.240 0.226073
ten_two -0.027045 0.020241 -1.336 0.193068
ten_two_unexp 0.250692 0.083538 3.001 0.005872 **
ten -0.766318 0.323125 -2.372 0.025402 *
ten_unexp 0.391613 0.345666 1.133 0.267586
cpi 16.847420 4.575259 3.682 0.001065 **
cpi_unexp -14.083758 4.536761 -3.104 0.004561 **
jobs -21.582784 7.013937 -3.077 0.004877 **
jobs_unexp 1.302874 8.428330 0.155 0.878344
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.07445 on 26 degrees of freedom
Multiple R-Squared: 0.7961, Adjusted R-squared: 0.5765
F-statistic: 3.625 on 28 and 26 DF, p-value: 0.0007328
Covariance matrix of residuals:
loans capital
loans 3.089e-03 -3.398e-05
capital -3.398e-05 5.543e-03
Correlation matrix of residuals:
loans capital
loans 1.000000 -0.008211
capital -0.008211 1.000000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 64
Log Likelihood: 229.568
Roots of the characteristic polynomial:
0.2651 0.03536
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.2591373 0.1329711 1.949 0.0566 .
capital.l1 0.1434455 0.1058937 1.355 0.1813
const -0.0027203 0.0147312 -0.185 0.8542
ten_two -0.0008555 0.0062488 -0.137 0.8916
ten_two_unexp -0.0115576 0.0232820 -0.496 0.6217
ten -0.0171490 0.1195062 -0.143 0.8864
ten_unexp 0.0332809 0.1265180 0.263 0.7935
cpi 0.4330707 1.4329745 0.302 0.7637
cpi_unexp -0.2734692 1.3187148 -0.207 0.8365
jobs 0.6752477 1.4906326 0.453 0.6524
jobs_unexp -2.1857113 3.2600390 -0.670 0.5055
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.03707 on 53 degrees of freedom
Multiple R-Squared: 0.108, Adjusted R-squared: -0.0603
F-statistic: 0.6417 on 10 and 53 DF, p-value: 0.7714
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.012173 0.190832 0.064 0.949
capital.l1 -0.029435 0.151973 -0.194 0.847
const -0.002059 0.021141 -0.097 0.923
ten_two 0.007499 0.008968 0.836 0.407
ten_two_unexp -0.001818 0.033413 -0.054 0.957
ten 0.007442 0.171508 0.043 0.966
ten_unexp -0.169986 0.181571 -0.936 0.353
cpi 0.979475 2.056522 0.476 0.636
cpi_unexp 0.350362 1.892543 0.185 0.854
jobs -0.824447 2.139270 -0.385 0.701
jobs_unexp 1.754153 4.678620 0.375 0.709
Residual standard error: 0.0532 on 53 degrees of freedom
Multiple R-Squared: 0.1137, Adjusted R-squared: -0.05352
F-statistic: 0.68 on 10 and 53 DF, p-value: 0.7379
Covariance matrix of residuals:
loans capital
loans 0.0013741 -0.0002422
capital -0.0002422 0.0028302
Correlation matrix of residuals:
loans capital
loans 1.0000 -0.1228
capital -0.1228 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 34
Log Likelihood: 221.291
Roots of the characteristic polynomial:
1.147 1.147 1.079 1.079 0.9884 0.9835 0.9835 0.9512 0.9512 0.9445 0.9445 0.9187 0.8965 0.8965 0.8927 0.8927 0.6595 0.6595 0.5985 0.5985
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.10774 0.27228 0.396 0.70865
capital.l1 1.41729 1.01830 1.392 0.22272
loans.l2 -1.17635 0.28683 -4.101 0.00934 **
capital.l2 -0.48681 0.84655 -0.575 0.59016
loans.l3 0.13615 0.41984 0.324 0.75885
capital.l3 -0.80803 0.51006 -1.584 0.17400
loans.l4 0.04759 0.47886 0.099 0.92470
capital.l4 -0.69020 0.69247 -0.997 0.36466
loans.l5 -0.16602 0.43300 -0.383 0.71717
capital.l5 0.39903 0.70456 0.566 0.59563
loans.l6 0.24940 0.32572 0.766 0.47842
capital.l6 0.31247 0.43900 0.712 0.50842
loans.l7 0.33290 0.34381 0.968 0.37738
capital.l7 -0.43442 0.43599 -0.996 0.36481
loans.l8 0.24435 0.33142 0.737 0.49406
capital.l8 0.53030 0.22373 2.370 0.06394 .
loans.l9 -0.40514 0.34706 -1.167 0.29570
capital.l9 0.04360 0.25449 0.171 0.87069
loans.l10 0.22156 0.19692 1.125 0.31164
capital.l10 0.29317 0.26064 1.125 0.31175
const 0.19065 0.14204 1.342 0.23723
ten_two -0.12829 0.04082 -3.143 0.02559 *
ten_two_unexp -0.06504 0.13761 -0.473 0.65641
ten -0.38708 0.28050 -1.380 0.22612
ten_unexp 0.84140 0.37363 2.252 0.07409 .
cpi 15.43031 9.59461 1.608 0.16870
cpi_unexp -11.58758 9.23428 -1.255 0.26499
jobs 7.29107 22.31832 0.327 0.75714
jobs_unexp 15.73057 14.40871 1.092 0.32474
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.04162 on 5 degrees of freedom
Multiple R-Squared: 0.9224, Adjusted R-squared: 0.4881
F-statistic: 2.124 on 28 and 5 DF, p-value: 0.2053
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.376521 0.102650 3.668 0.01447 *
capital.l1 -0.027591 0.383899 -0.072 0.94549
loans.l2 0.238081 0.108137 2.202 0.07893 .
capital.l2 0.095376 0.319150 0.299 0.77708
loans.l3 -0.057199 0.158282 -0.361 0.73259
capital.l3 -0.092452 0.192292 -0.481 0.65097
loans.l4 0.421673 0.180532 2.336 0.06673 .
capital.l4 0.053314 0.261061 0.204 0.84623
loans.l5 0.216549 0.163241 1.327 0.24201
capital.l5 -0.368437 0.265621 -1.387 0.22407
loans.l6 0.459551 0.122796 3.742 0.01340 *
capital.l6 -0.062620 0.165503 -0.378 0.72069
loans.l7 0.033351 0.129617 0.257 0.80719
capital.l7 0.328934 0.164368 2.001 0.10178
loans.l8 0.602366 0.124945 4.821 0.00479 **
capital.l8 -0.081189 0.084348 -0.963 0.37998
loans.l9 -0.110413 0.130841 -0.844 0.43724
capital.l9 0.055352 0.095945 0.577 0.58900
loans.l10 0.307733 0.074240 4.145 0.00895 **
capital.l10 -0.082504 0.098263 -0.840 0.43941
const -0.242800 0.053549 -4.534 0.00620 **
ten_two 0.008274 0.015391 0.538 0.61389
ten_two_unexp 0.178721 0.051881 3.445 0.01834 *
ten 0.145012 0.105750 1.371 0.22863
ten_unexp -0.542725 0.140857 -3.853 0.01196 *
cpi -2.331012 3.617177 -0.644 0.54769
cpi_unexp -0.289718 3.481331 -0.083 0.93691
jobs 37.813354 8.414026 4.494 0.00643 **
jobs_unexp -20.167063 5.432097 -3.713 0.01382 *
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.01569 on 5 degrees of freedom
Multiple R-Squared: 0.9814, Adjusted R-squared: 0.8771
F-statistic: 9.411 on 28 and 5 DF, p-value: 0.009983
Covariance matrix of residuals:
loans capital
loans 0.0017320 0.0002723
capital 0.0002723 0.0002462
Correlation matrix of residuals:
loans capital
loans 1.000 0.417
capital 0.417 1.000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 45
Log Likelihood: 211.469
Roots of the characteristic polynomial:
0.9949 0.9949 0.9343 0.9343 0.9149 0.9149 0.9024 0.9024 0.8726 0.8726 0.8587 0.8587 0.8584 0.8584 0.7979 0.7979 0.736 0.736 0.5334 0.01416
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.0267181 0.2230351 -0.120 0.9061
capital.l1 -0.1696226 0.1178514 -1.439 0.1693
loans.l2 0.2705957 0.2291428 1.181 0.2549
capital.l2 -0.0856826 0.1180101 -0.726 0.4783
loans.l3 0.2481452 0.2150289 1.154 0.2654
capital.l3 -0.0355396 0.1055582 -0.337 0.7407
loans.l4 -0.2245758 0.2379326 -0.944 0.3593
capital.l4 -0.0116304 0.0952530 -0.122 0.9043
loans.l5 0.0452709 0.1687697 0.268 0.7919
capital.l5 0.0169483 0.0599429 0.283 0.7810
loans.l6 0.3956904 0.2063277 1.918 0.0732 .
capital.l6 0.0597996 0.0581633 1.028 0.3192
loans.l7 0.1709408 0.1763582 0.969 0.3468
capital.l7 -0.0051846 0.0537193 -0.097 0.9243
loans.l8 -0.2285306 0.1505678 -1.518 0.1486
capital.l8 -0.1140065 0.0533373 -2.137 0.0483 *
loans.l9 -0.0791099 0.1999583 -0.396 0.6976
capital.l9 0.0189705 0.0588848 0.322 0.7515
loans.l10 -0.0004579 0.0026060 -0.176 0.8627
capital.l10 0.0422115 0.0592374 0.713 0.4864
const 0.0296785 0.0424575 0.699 0.4946
ten_two -0.0176760 0.0135814 -1.301 0.2115
ten_two_unexp 0.0423022 0.0415317 1.019 0.3236
ten 0.1085879 0.1849289 0.587 0.5653
ten_unexp -0.1342152 0.1988782 -0.675 0.5094
cpi -0.4753087 1.7357369 -0.274 0.7877
cpi_unexp 0.2048606 1.6300405 0.126 0.9016
jobs 5.4542301 3.0117564 1.811 0.0890 .
jobs_unexp -8.0031062 5.1949990 -1.541 0.1430
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.02875 on 16 degrees of freedom
Multiple R-Squared: 0.8802, Adjusted R-squared: 0.6706
F-statistic: 4.2 on 28 and 16 DF, p-value: 0.002024
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.283315 0.404895 0.700 0.494149
capital.l1 -0.297598 0.213946 -1.391 0.183269
loans.l2 -0.211147 0.415983 -0.508 0.618668
capital.l2 -0.490014 0.214234 -2.287 0.036137 *
loans.l3 0.227049 0.390361 0.582 0.568914
capital.l3 -0.486122 0.191629 -2.537 0.021982 *
loans.l4 0.104315 0.431940 0.242 0.812232
capital.l4 -0.642217 0.172921 -3.714 0.001886 **
loans.l5 0.269685 0.306382 0.880 0.391767
capital.l5 -0.338297 0.108820 -3.109 0.006754 **
loans.l6 0.415271 0.374565 1.109 0.283957
capital.l6 -0.268558 0.105589 -2.543 0.021689 *
loans.l7 -0.506206 0.320158 -1.581 0.133417
capital.l7 -0.269851 0.097521 -2.767 0.013742 *
loans.l8 0.315223 0.273339 1.153 0.265754
capital.l8 -0.298402 0.096828 -3.082 0.007147 **
loans.l9 -0.805501 0.363002 -2.219 0.041294 *
capital.l9 -0.160478 0.106899 -1.501 0.152776
loans.l10 0.016456 0.004731 3.478 0.003102 **
capital.l10 -0.131398 0.107539 -1.222 0.239457
const 0.333362 0.077077 4.325 0.000523 ***
ten_two -0.089000 0.024656 -3.610 0.002350 **
ten_two_unexp 0.124962 0.075396 1.657 0.116913
ten -0.388194 0.335718 -1.156 0.264529
ten_unexp 0.493632 0.361041 1.367 0.190451
cpi 6.770069 3.151036 2.149 0.047327 *
cpi_unexp -12.088762 2.959156 -4.085 0.000863 ***
jobs -19.879172 5.467506 -3.636 0.002224 **
jobs_unexp 26.844888 9.430939 2.846 0.011666 *
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.05218 on 16 degrees of freedom
Multiple R-Squared: 0.8404, Adjusted R-squared: 0.5611
F-statistic: 3.009 on 28 and 16 DF, p-value: 0.01206
Covariance matrix of residuals:
loans capital
loans 8.263e-04 -6.122e-05
capital -6.122e-05 2.723e-03
Correlation matrix of residuals:
loans capital
loans 1.00000 -0.04081
capital -0.04081 1.00000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 55
Log Likelihood: 207.683
Roots of the characteristic polynomial:
0.9524 0.9524 0.9423 0.9423 0.9189 0.9189 0.9147 0.9147 0.8904 0.8904 0.8848 0.8848 0.8541 0.8541 0.8325 0.8325 0.7919 0.7919 0.7503 0.371
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.090251 0.165540 0.545 0.59027
capital.l1 0.134501 0.094308 1.426 0.16571
loans.l2 -0.397438 0.171049 -2.324 0.02824 *
capital.l2 0.258938 0.090292 2.868 0.00809 **
loans.l3 0.064038 0.147283 0.435 0.66730
capital.l3 0.206369 0.098027 2.105 0.04509 *
loans.l4 -0.218167 0.145016 -1.504 0.14452
capital.l4 0.179165 0.097803 1.832 0.07845 .
loans.l5 0.031663 0.137043 0.231 0.81909
capital.l5 0.066863 0.089495 0.747 0.46170
loans.l6 -0.328645 0.151505 -2.169 0.03940 *
capital.l6 0.175303 0.086980 2.015 0.05430 .
loans.l7 -0.170055 0.146564 -1.160 0.25648
capital.l7 0.173236 0.098345 1.762 0.08991 .
loans.l8 -0.032571 0.141903 -0.230 0.82026
capital.l8 0.305665 0.095395 3.204 0.00357 **
loans.l9 0.057554 0.135819 0.424 0.67523
capital.l9 0.120942 0.099820 1.212 0.23656
loans.l10 -0.109219 0.176006 -0.621 0.54030
capital.l10 0.105537 0.088082 1.198 0.24166
const -0.014561 0.023711 -0.614 0.54448
ten_two 0.004889 0.009025 0.542 0.59267
ten_two_unexp -0.125101 0.042522 -2.942 0.00677 **
ten 0.107626 0.184763 0.583 0.56524
ten_unexp -0.168807 0.189286 -0.892 0.38067
cpi 3.130377 1.995862 1.568 0.12887
cpi_unexp -1.815924 1.687570 -1.076 0.29179
jobs -6.683628 2.161275 -3.092 0.00470 **
jobs_unexp 10.366579 5.135224 2.019 0.05394 .
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.04365 on 26 degrees of freedom
Multiple R-Squared: 0.6691, Adjusted R-squared: 0.3127
F-statistic: 1.877 on 28 and 26 DF, p-value: 0.05518
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.398183 0.258508 1.540 0.1356
capital.l1 -0.119537 0.147271 -0.812 0.4243
loans.l2 -0.009792 0.267110 -0.037 0.9710
capital.l2 0.027289 0.141001 0.194 0.8480
loans.l3 -0.079290 0.229997 -0.345 0.7331
capital.l3 0.182412 0.153080 1.192 0.2442
loans.l4 0.127498 0.226456 0.563 0.5782
capital.l4 -0.296688 0.152729 -1.943 0.0630 .
loans.l5 0.220010 0.214006 1.028 0.3134
capital.l5 -0.185488 0.139755 -1.327 0.1960
loans.l6 -0.282980 0.236590 -1.196 0.2425
capital.l6 -0.283572 0.135827 -2.088 0.0468 *
loans.l7 -0.394401 0.228874 -1.723 0.0967 .
capital.l7 0.142048 0.153575 0.925 0.3635
loans.l8 0.209443 0.221596 0.945 0.3533
capital.l8 -0.049150 0.148969 -0.330 0.7441
loans.l9 0.368205 0.212094 1.736 0.0944 .
capital.l9 0.175077 0.155879 1.123 0.2716
loans.l10 -0.046337 0.274850 -0.169 0.8674
capital.l10 -0.240505 0.137549 -1.749 0.0922 .
const 0.045928 0.037027 1.240 0.2259
ten_two -0.010746 0.014094 -0.762 0.4527
ten_two_unexp -0.151798 0.066403 -2.286 0.0306 *
ten 0.698068 0.288526 2.419 0.0228 *
ten_unexp -0.713036 0.295589 -2.412 0.0232 *
cpi -4.447288 3.116736 -1.427 0.1655
cpi_unexp 6.298185 2.635308 2.390 0.0244 *
jobs 4.387634 3.375046 1.300 0.2050
jobs_unexp -18.558090 8.019161 -2.314 0.0288 *
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.06816 on 26 degrees of freedom
Multiple R-Squared: 0.5971, Adjusted R-squared: 0.1632
F-statistic: 1.376 on 28 and 26 DF, p-value: 0.2081
Covariance matrix of residuals:
loans capital
loans 0.001905 0.000894
capital 0.000894 0.004646
Correlation matrix of residuals:
loans capital
loans 1.0000 0.3005
capital 0.3005 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 64
Log Likelihood: 230.141
Roots of the characteristic polynomial:
0.6199 0.1564
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 4.889e-01 1.251e-01 3.907 0.000266 ***
capital.l1 1.542e-01 1.474e-01 1.046 0.300446
const 7.367e-03 1.986e-02 0.371 0.712147
ten_two 7.681e-05 8.115e-03 0.009 0.992484
ten_two_unexp 1.216e-02 3.104e-02 0.392 0.696737
ten 5.087e-02 1.409e-01 0.361 0.719595
ten_unexp -1.051e-01 1.530e-01 -0.687 0.495318
cpi 1.749e+00 1.837e+00 0.952 0.345363
cpi_unexp -2.095e+00 1.664e+00 -1.260 0.213346
jobs -7.182e-01 1.908e+00 -0.376 0.708089
jobs_unexp 4.352e+00 4.034e+00 1.079 0.285546
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.04796 on 53 degrees of freedom
Multiple R-Squared: 0.3018, Adjusted R-squared: 0.1701
F-statistic: 2.291 on 10 and 53 DF, p-value: 0.0256
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.282368 0.105600 2.674 0.00994 **
capital.l1 0.287375 0.124439 2.309 0.02485 *
const -0.007085 0.016762 -0.423 0.67422
ten_two 0.006463 0.006849 0.944 0.34961
ten_two_unexp 0.008709 0.026198 0.332 0.74088
ten 0.226299 0.118950 1.902 0.06255 .
ten_unexp -0.219050 0.129148 -1.696 0.09573 .
cpi -0.157407 1.550324 -0.102 0.91951
cpi_unexp 0.664962 1.404099 0.474 0.63774
jobs 1.776731 1.610155 1.103 0.27482
jobs_unexp -4.588984 3.404738 -1.348 0.18345
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.04048 on 53 degrees of freedom
Multiple R-Squared: 0.2928, Adjusted R-squared: 0.1594
F-statistic: 2.195 on 10 and 53 DF, p-value: 0.03238
Covariance matrix of residuals:
loans capital
loans 2.300e-03 7.836e-05
capital 7.836e-05 1.638e-03
Correlation matrix of residuals:
loans capital
loans 1.00000 0.04037
capital 0.04037 1.00000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 31
Log Likelihood: 186.706
Roots of the characteristic polynomial:
1.034 1.034 1.019 1.019 0.9856 0.9856 0.9749 0.9749 0.9691 0.9647 0.9647 0.9546 0.9546 0.9486 0.9458 0.9458 0.8742 0.8742 0.737 0.737
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.77712 0.52055 1.493 0.274
capital.l1 0.69152 0.71314 0.970 0.434
loans.l2 -0.45944 0.47804 -0.961 0.438
capital.l2 1.40853 0.68003 2.071 0.174
loans.l3 0.92413 0.40352 2.290 0.149
capital.l3 0.20458 0.72782 0.281 0.805
loans.l4 -0.30930 0.41339 -0.748 0.532
capital.l4 1.43412 0.76352 1.878 0.201
loans.l5 0.57722 0.40061 1.441 0.286
capital.l5 0.59749 0.62122 0.962 0.438
loans.l6 -0.38548 0.31334 -1.230 0.344
capital.l6 1.20427 0.56723 2.123 0.168
loans.l7 0.70292 0.49852 1.410 0.294
capital.l7 -0.49206 0.59704 -0.824 0.496
loans.l8 1.14197 0.71728 1.592 0.252
capital.l8 0.77294 0.59886 1.291 0.326
loans.l9 0.07874 0.69895 0.113 0.921
capital.l9 -0.08210 0.38833 -0.211 0.852
loans.l10 0.05742 0.50772 0.113 0.920
capital.l10 0.77456 0.48671 1.591 0.252
const -0.08513 0.11073 -0.769 0.522
ten_two -0.12685 0.08027 -1.580 0.255
ten_two_unexp 0.01985 0.11966 0.166 0.883
ten 0.10027 0.47080 0.213 0.851
ten_unexp 0.04458 0.49975 0.089 0.937
cpi 2.07647 9.90819 0.210 0.853
cpi_unexp -5.40674 10.30004 -0.525 0.652
jobs 11.43048 15.99487 0.715 0.549
jobs_unexp 17.79181 14.89497 1.194 0.355
Residual standard error: 0.04741 on 2 degrees of freedom
Multiple R-Squared: 0.9255, Adjusted R-squared: -0.1178
F-statistic: 0.8871 on 28 and 2 DF, p-value: 0.6618
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.142742 0.524182 0.272 0.811
capital.l1 0.156022 0.718113 0.217 0.848
loans.l2 -0.171890 0.481371 -0.357 0.755
capital.l2 -0.267279 0.684773 -0.390 0.734
loans.l3 -0.142239 0.406331 -0.350 0.760
capital.l3 -0.735658 0.732894 -1.004 0.421
loans.l4 0.038442 0.416275 0.092 0.935
capital.l4 -0.287023 0.768841 -0.373 0.745
loans.l5 -0.049772 0.403401 -0.123 0.913
capital.l5 -0.083788 0.625548 -0.134 0.906
loans.l6 -0.768872 0.315526 -2.437 0.135
capital.l6 -0.414861 0.571189 -0.726 0.543
loans.l7 0.018891 0.501996 0.038 0.973
capital.l7 -0.279148 0.601199 -0.464 0.688
loans.l8 0.172971 0.722281 0.239 0.833
capital.l8 -0.010225 0.603037 -0.017 0.988
loans.l9 -0.582247 0.703822 -0.827 0.495
capital.l9 -0.073908 0.391040 -0.189 0.868
loans.l10 0.396192 0.511256 0.775 0.519
capital.l10 0.175228 0.490100 0.358 0.755
const 0.006891 0.111505 0.062 0.956
ten_two 0.045463 0.080834 0.562 0.630
ten_two_unexp -0.018323 0.120496 -0.152 0.893
ten -0.067473 0.474086 -0.142 0.900
ten_unexp 0.057809 0.503240 0.115 0.919
cpi 6.586252 9.977280 0.660 0.577
cpi_unexp -6.671443 10.371865 -0.643 0.586
jobs -1.556083 16.106401 -0.097 0.932
jobs_unexp 5.263804 14.998832 0.351 0.759
Residual standard error: 0.04774 on 2 degrees of freedom
Multiple R-Squared: 0.9091, Adjusted R-squared: -0.3634
F-statistic: 0.7144 on 28 and 2 DF, p-value: 0.7366
Covariance matrix of residuals:
loans capital
loans 0.0022479 -0.0005375
capital -0.0005375 0.0022794
Correlation matrix of residuals:
loans capital
loans 1.0000 -0.2374
capital -0.2374 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 34
Log Likelihood: 133.491
Roots of the characteristic polynomial:
1.073 1.073 0.9838 0.9838 0.9818 0.9818 0.9699 0.9699 0.9353 0.9255 0.9255 0.9231 0.9231 0.8712 0.8712 0.8553 0.8553 0.6415
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.47542 0.29260 1.625 0.1482
capital.l1 0.28877 0.50823 0.568 0.5877
loans.l2 0.37153 0.30530 1.217 0.2631
capital.l2 -0.46835 0.45415 -1.031 0.3367
loans.l3 -0.13965 0.29449 -0.474 0.6498
capital.l3 0.65552 0.58869 1.114 0.3023
loans.l4 -0.38500 0.39885 -0.965 0.3666
capital.l4 -0.63909 0.52122 -1.226 0.2598
loans.l5 0.25976 0.38393 0.677 0.5204
capital.l5 0.90130 0.51635 1.746 0.1244
loans.l6 -0.33741 0.33065 -1.020 0.3415
capital.l6 -0.58584 0.59734 -0.981 0.3594
loans.l7 -0.64214 0.33957 -1.891 0.1005
capital.l7 0.41418 0.58982 0.702 0.5052
loans.l8 0.15618 0.40178 0.389 0.7090
capital.l8 -0.66970 0.52741 -1.270 0.2447
loans.l9 0.22345 0.41569 0.538 0.6075
capital.l9 0.87821 0.54774 1.603 0.1529
const -0.13105 0.18208 -0.720 0.4950
ten_two 0.04564 0.10780 0.423 0.6848
ten_two_unexp 0.79074 0.35129 2.251 0.0591 .
ten 0.36353 0.51319 0.708 0.5016
ten_unexp -1.41574 0.73850 -1.917 0.0968 .
cpi -11.22423 11.52936 -0.974 0.3627
cpi_unexp 3.62691 7.99002 0.454 0.6636
jobs 10.42841 7.89937 1.320 0.2283
jobs_unexp -21.49552 13.67762 -1.572 0.1600
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.09604 on 7 degrees of freedom
Multiple R-Squared: 0.8487, Adjusted R-squared: 0.2865
F-statistic: 1.51 on 26 and 7 DF, p-value: 0.2987
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.298667 0.216543 1.379 0.2103
capital.l1 -0.212859 0.376123 -0.566 0.5891
loans.l2 0.247026 0.225937 1.093 0.3104
capital.l2 -0.609609 0.336099 -1.814 0.1126
loans.l3 0.289081 0.217938 1.326 0.2263
capital.l3 -0.486267 0.435663 -1.116 0.3012
loans.l4 0.173209 0.295170 0.587 0.5758
capital.l4 0.042294 0.385737 0.110 0.9158
loans.l5 0.338938 0.284132 1.193 0.2718
capital.l5 -0.690915 0.382128 -1.808 0.1135
loans.l6 0.322999 0.244699 1.320 0.2284
capital.l6 -0.359779 0.442070 -0.814 0.4425
loans.l7 0.154564 0.251301 0.615 0.5580
capital.l7 -0.293142 0.436500 -0.672 0.5234
loans.l8 0.594534 0.297339 2.000 0.0857 .
capital.l8 -0.092104 0.390314 -0.236 0.8202
loans.l9 0.350868 0.307632 1.141 0.2916
capital.l9 0.279678 0.405357 0.690 0.5124
const 0.189079 0.134752 1.403 0.2033
ten_two -0.129070 0.079778 -1.618 0.1497
ten_two_unexp -0.001585 0.259977 -0.006 0.9953
ten 0.571785 0.379793 1.506 0.1759
ten_unexp -0.558841 0.546537 -1.023 0.3406
cpi -0.848609 8.532417 -0.099 0.9236
cpi_unexp 3.454832 5.913097 0.584 0.5774
jobs 8.199198 5.846007 1.403 0.2035
jobs_unexp -11.794338 10.122259 -1.165 0.2821
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.07107 on 7 degrees of freedom
Multiple R-Squared: 0.8443, Adjusted R-squared: 0.2662
F-statistic: 1.46 on 26 and 7 DF, p-value: 0.3163
Covariance matrix of residuals:
loans capital
loans 0.009223 -0.003891
capital -0.003891 0.005051
Correlation matrix of residuals:
loans capital
loans 1.0000 -0.5701
capital -0.5701 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 64
Log Likelihood: 178.784
Roots of the characteristic polynomial:
0.158 0.02726
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.082207 0.183337 -0.448 0.656
capital.l1 0.086961 0.172708 0.504 0.617
const 0.023877 0.030054 0.794 0.430
ten_two -0.002788 0.012487 -0.223 0.824
ten_two_unexp 0.047083 0.047250 0.996 0.324
ten -0.231342 0.222789 -1.038 0.304
ten_unexp 0.253081 0.234757 1.078 0.286
cpi 1.943836 2.843871 0.684 0.497
cpi_unexp 0.144829 2.631421 0.055 0.956
jobs -0.037280 2.961360 -0.013 0.990
jobs_unexp -1.984988 6.651120 -0.298 0.767
Residual standard error: 0.07445 on 53 degrees of freedom
Multiple R-Squared: 0.08669, Adjusted R-squared: -0.08564
F-statistic: 0.503 on 10 and 53 DF, p-value: 0.8803
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.095399 0.185877 0.513 0.610
capital.l1 -0.048523 0.175101 -0.277 0.783
const 0.004431 0.030470 0.145 0.885
ten_two 0.012595 0.012660 0.995 0.324
ten_two_unexp 0.012793 0.047904 0.267 0.790
ten 0.321047 0.225875 1.421 0.161
ten_unexp -0.329343 0.238009 -1.384 0.172
cpi 0.021727 2.883271 0.008 0.994
cpi_unexp 1.607591 2.667877 0.603 0.549
jobs 2.454327 3.002387 0.817 0.417
jobs_unexp -7.602920 6.743267 -1.127 0.265
Residual standard error: 0.07548 on 53 degrees of freedom
Multiple R-Squared: 0.09991, Adjusted R-squared: -0.06992
F-statistic: 0.5883 on 10 and 53 DF, p-value: 0.8162
Covariance matrix of residuals:
loans capital
loans 0.005542 0.003584
capital 0.003584 0.005697
Correlation matrix of residuals:
loans capital
loans 1.0000 0.6379
capital 0.6379 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 59
Log Likelihood: 375.008
Roots of the characteristic polynomial:
0.8972 0.8972 0.894 0.894 0.8468 0.8468 0.8053 0.8053 0.772 0.772 0.5695 0.5695
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.432708 0.166993 -2.591 0.0135 *
capital.l1 -2.192429 1.462151 -1.499 0.1420
loans.l2 -0.226957 0.177133 -1.281 0.2079
capital.l2 0.223070 1.416147 0.158 0.8757
loans.l3 0.031252 0.168002 0.186 0.8534
capital.l3 0.376544 1.518015 0.248 0.8054
loans.l4 0.139952 0.166568 0.840 0.4060
capital.l4 1.054258 1.316421 0.801 0.4282
loans.l5 0.124095 0.177913 0.698 0.4897
capital.l5 0.519795 1.390386 0.374 0.7106
loans.l6 -0.168799 0.159931 -1.055 0.2979
capital.l6 -0.581978 1.426280 -0.408 0.6855
const 0.039968 0.026306 1.519 0.1370
ten_two -0.013747 0.008165 -1.684 0.1005
ten_two_unexp 0.003145 0.031070 0.101 0.9199
ten -0.161830 0.139767 -1.158 0.2541
ten_unexp 0.099308 0.161194 0.616 0.5415
cpi 1.419617 1.742933 0.814 0.4204
cpi_unexp -1.784373 1.811659 -0.985 0.3309
jobs -5.320099 2.487644 -2.139 0.0390 *
jobs_unexp 2.403146 4.187464 0.574 0.5694
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.04113 on 38 degrees of freedom
Multiple R-Squared: 0.4362, Adjusted R-squared: 0.1394
F-statistic: 1.47 on 20 and 38 DF, p-value: 0.1505
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.0185463 0.0156594 1.184 0.24363
capital.l1 0.1277038 0.1371101 0.931 0.35753
loans.l2 -0.0044980 0.0166103 -0.271 0.78801
capital.l2 0.2160032 0.1327962 1.627 0.11209
loans.l3 -0.0128366 0.0157540 -0.815 0.42026
capital.l3 0.2140439 0.1423486 1.504 0.14094
loans.l4 -0.0148109 0.0156195 -0.948 0.34900
capital.l4 0.2973645 0.1234446 2.409 0.02096 *
loans.l5 -0.0445735 0.0166834 -2.672 0.01105 *
capital.l5 -0.2492948 0.1303804 -1.912 0.06343 .
loans.l6 0.0078770 0.0149972 0.525 0.60248
capital.l6 -0.3154392 0.1337464 -2.358 0.02360 *
const 0.0048714 0.0024668 1.975 0.05559 .
ten_two 0.0005377 0.0007657 0.702 0.48683
ten_two_unexp -0.0010334 0.0029135 -0.355 0.72479
ten -0.0142918 0.0131064 -1.090 0.28238
ten_unexp 0.0113897 0.0151156 0.754 0.45579
cpi 0.4600428 0.1634398 2.815 0.00769 **
cpi_unexp -0.5199524 0.1698844 -3.061 0.00404 **
jobs -0.1837686 0.2332735 -0.788 0.43571
jobs_unexp 0.0857191 0.3926704 0.218 0.82837
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.003857 on 38 degrees of freedom
Multiple R-Squared: 0.5967, Adjusted R-squared: 0.3844
F-statistic: 2.811 on 20 and 38 DF, p-value: 0.002986
Covariance matrix of residuals:
loans capital
loans 1.692e-03 -1.581e-05
capital -1.581e-05 1.487e-05
Correlation matrix of residuals:
loans capital
loans 1.0000 -0.0997
capital -0.0997 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 59
Log Likelihood: 281.629
Roots of the characteristic polynomial:
0.9078 0.9078 0.8363 0.8363 0.8294 0.8294 0.8135 0.8135 0.7628 0.7628 0.3011 0.217
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.059437 0.144366 -0.412 0.6829
capital.l1 0.253922 0.139185 1.824 0.0760 .
loans.l2 0.024122 0.146057 0.165 0.8697
capital.l2 -0.155328 0.140509 -1.105 0.2759
loans.l3 -0.322844 0.147581 -2.188 0.0349 *
capital.l3 0.170538 0.159224 1.071 0.2909
loans.l4 0.258918 0.139224 1.860 0.0707 .
capital.l4 0.216317 0.143112 1.512 0.1389
loans.l5 -0.063455 0.139415 -0.455 0.6516
capital.l5 0.066304 0.155154 0.427 0.6715
loans.l6 -0.319460 0.142480 -2.242 0.0309 *
capital.l6 0.223386 0.140863 1.586 0.1211
const -0.006184 0.011016 -0.561 0.5778
ten_two 0.004154 0.004915 0.845 0.4033
ten_two_unexp 0.013284 0.018360 0.724 0.4738
ten 0.127856 0.091569 1.396 0.1707
ten_unexp -0.157988 0.095552 -1.653 0.1065
cpi 2.278493 1.038005 2.195 0.0343 *
cpi_unexp -1.820547 0.982623 -1.853 0.0717 .
jobs -3.216821 1.239882 -2.594 0.0134 *
jobs_unexp 4.083068 2.352439 1.736 0.0907 .
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.02608 on 38 degrees of freedom
Multiple R-Squared: 0.4764, Adjusted R-squared: 0.2009
F-statistic: 1.729 on 20 and 38 DF, p-value: 0.07197
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.155184 0.163517 -0.949 0.3486
capital.l1 -0.264387 0.157649 -1.677 0.1017
loans.l2 -0.121060 0.165433 -0.732 0.4688
capital.l2 -0.381801 0.159149 -2.399 0.0215 *
loans.l3 0.030766 0.167159 0.184 0.8550
capital.l3 -0.301744 0.180346 -1.673 0.1025
loans.l4 -0.101221 0.157693 -0.642 0.5248
capital.l4 -0.194176 0.162097 -1.198 0.2384
loans.l5 0.022055 0.157910 0.140 0.8897
capital.l5 -0.241393 0.175737 -1.374 0.1776
loans.l6 -0.139402 0.161381 -0.864 0.3931
capital.l6 0.066240 0.159550 0.415 0.6804
const 0.006082 0.012478 0.487 0.6288
ten_two 0.002518 0.005567 0.452 0.6536
ten_two_unexp -0.007766 0.020796 -0.373 0.7109
ten -0.102616 0.103716 -0.989 0.3287
ten_unexp -0.002694 0.108228 -0.025 0.9803
cpi 0.225680 1.175706 0.192 0.8488
cpi_unexp 0.415826 1.112977 0.374 0.7108
jobs -0.508967 1.404364 -0.362 0.7190
jobs_unexp 2.919215 2.664511 1.096 0.2802
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.02954 on 38 degrees of freedom
Multiple R-Squared: 0.4323, Adjusted R-squared: 0.1335
F-statistic: 1.447 on 20 and 38 DF, p-value: 0.1603
Covariance matrix of residuals:
loans capital
loans 6.804e-04 -5.963e-05
capital -5.963e-05 8.729e-04
Correlation matrix of residuals:
loans capital
loans 1.00000 -0.07738
capital -0.07738 1.00000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 55
Log Likelihood: 84.221
Roots of the characteristic polynomial:
0.05463 0.03996
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.05727 0.01059 5.410 2.46e-06 ***
capital.l1 -0.17233 0.17569 -0.981 0.332
const 0.12462 0.07652 1.629 0.111
ten_two -0.01893 0.03237 -0.585 0.562
ten_two_unexp -0.03264 0.12110 -0.270 0.789
ten -0.25510 0.56638 -0.450 0.655
ten_unexp 0.14543 0.60956 0.239 0.813
cpi -5.30421 6.99900 -0.758 0.453
cpi_unexp 6.68941 6.40841 1.044 0.302
jobs 2.89196 7.72387 0.374 0.710
jobs_unexp 5.97435 16.25574 0.368 0.715
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.182 on 44 degrees of freedom
Multiple R-Squared: 0.4392, Adjusted R-squared: 0.3118
F-statistic: 3.446 on 10 and 44 DF, p-value: 0.002087
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.001493 0.008731 0.171 0.8650
capital.l1 -0.042602 0.144896 -0.294 0.7701
const 0.115005 0.063104 1.822 0.0752 .
ten_two -0.039697 0.026700 -1.487 0.1442
ten_two_unexp 0.089987 0.099873 0.901 0.3725
ten -0.050447 0.467100 -0.108 0.9145
ten_unexp -0.230520 0.502708 -0.459 0.6488
cpi -6.285278 5.772107 -1.089 0.2821
cpi_unexp 9.605613 5.285040 1.818 0.0760 .
jobs 2.806055 6.369908 0.441 0.6617
jobs_unexp 1.256676 13.406176 0.094 0.9257
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.1501 on 44 degrees of freedom
Multiple R-Squared: 0.1374, Adjusted R-squared: -0.05864
F-statistic: 0.7009 on 10 and 44 DF, p-value: 0.7183
Covariance matrix of residuals:
loans capital
loans 0.03313 0.02227
capital 0.02227 0.02253
Correlation matrix of residuals:
loans capital
loans 1.0000 0.8151
capital 0.8151 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 49
Log Likelihood: 98.971
Roots of the characteristic polynomial:
0.9879 0.9879 0.9847 0.9847 0.9545 0.9545 0.954 0.954 0.8489 0.8489 0.8168 0.8168 0.7429 0.7429 0.6955 0.6955 0.4188 0.205
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.255752 0.242786 -1.053 0.30359
capital.l1 -0.030102 0.187408 -0.161 0.87386
loans.l2 -0.099278 0.258134 -0.385 0.70423
capital.l2 -0.176581 0.189389 -0.932 0.36127
loans.l3 0.088468 0.232988 0.380 0.70780
capital.l3 -0.214574 0.188256 -1.140 0.26663
loans.l4 0.663534 0.232111 2.859 0.00913 **
capital.l4 -0.359693 0.210636 -1.708 0.10178
loans.l5 0.346575 0.325442 1.065 0.29845
capital.l5 -0.379391 0.184785 -2.053 0.05214 .
loans.l6 0.097166 0.289291 0.336 0.74015
capital.l6 -0.238933 0.178494 -1.339 0.19437
loans.l7 0.002642 0.302210 0.009 0.99310
capital.l7 -0.099690 0.168778 -0.591 0.56077
loans.l8 -0.654334 0.283673 -2.307 0.03087 *
capital.l8 0.121207 0.136721 0.887 0.38492
loans.l9 0.103716 0.064059 1.619 0.11968
capital.l9 0.047043 0.115349 0.408 0.68734
const 0.323364 0.178096 1.816 0.08308 .
ten_two -0.132197 0.072189 -1.831 0.08064 .
ten_two_unexp 0.118513 0.132283 0.896 0.38000
ten 0.015324 0.519902 0.029 0.97675
ten_unexp 0.078867 0.628822 0.125 0.90133
cpi -1.577053 7.190067 -0.219 0.82841
cpi_unexp 2.777569 5.781231 0.480 0.63565
jobs 2.330677 8.763744 0.266 0.79276
jobs_unexp 3.934759 15.239887 0.258 0.79866
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.1232 on 22 degrees of freedom
Multiple R-Squared: 0.5373, Adjusted R-squared: -0.009497
F-statistic: 0.9826 on 26 and 22 DF, p-value: 0.5214
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.453578 0.309009 -1.468 0.1563
capital.l1 -0.200015 0.238526 -0.839 0.4107
loans.l2 -0.406063 0.328543 -1.236 0.2295
capital.l2 -0.156004 0.241047 -0.647 0.5242
loans.l3 0.021545 0.296538 0.073 0.9427
capital.l3 -0.334769 0.239605 -1.397 0.1763
loans.l4 0.384297 0.295422 1.301 0.2068
capital.l4 -0.413074 0.268089 -1.541 0.1376
loans.l5 0.976663 0.414210 2.358 0.0277 *
capital.l5 -0.522106 0.235187 -2.220 0.0370 *
loans.l6 0.459388 0.368199 1.248 0.2253
capital.l6 -0.171795 0.227180 -0.756 0.4575
loans.l7 -0.057434 0.384641 -0.149 0.8827
capital.l7 -0.162174 0.214815 -0.755 0.4583
loans.l8 -0.117107 0.361048 -0.324 0.7487
capital.l8 -0.036240 0.174014 -0.208 0.8369
loans.l9 -0.007314 0.081531 -0.090 0.9293
capital.l9 0.080032 0.146812 0.545 0.5911
const 0.218991 0.226673 0.966 0.3445
ten_two -0.100513 0.091879 -1.094 0.2858
ten_two_unexp 0.079701 0.168365 0.473 0.6406
ten 1.309880 0.661711 1.980 0.0604 .
ten_unexp -0.752322 0.800340 -0.940 0.3574
cpi -11.634707 9.151236 -1.271 0.2169
cpi_unexp 8.544433 7.358124 1.161 0.2580
jobs 26.013198 11.154151 2.332 0.0292 *
jobs_unexp -46.365429 19.396731 -2.390 0.0258 *
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.1568 on 22 degrees of freedom
Multiple R-Squared: 0.6579, Adjusted R-squared: 0.2536
F-statistic: 1.627 on 26 and 22 DF, p-value: 0.1248
Covariance matrix of residuals:
loans capital
loans 0.015180 0.008597
capital 0.008597 0.024590
Correlation matrix of residuals:
loans capital
loans 1.000 0.445
capital 0.445 1.000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 63
Log Likelihood: 65.322
Roots of the characteristic polynomial:
0.5014 0.3004 0.09904 0.08552
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.180044 0.128412 1.402 0.1671
capital.l1 0.010774 0.011815 0.912 0.3662
loans.l2 0.268825 0.125555 2.141 0.0372 *
capital.l2 0.030936 0.012178 2.540 0.0142 *
const 0.005251 0.023034 0.228 0.8206
ten_two -0.007871 0.008557 -0.920 0.3621
ten_two_unexp -0.006166 0.031668 -0.195 0.8464
ten 0.157387 0.141264 1.114 0.2705
ten_unexp -0.171142 0.154955 -1.104 0.2747
cpi 2.870866 1.815354 1.581 0.1201
cpi_unexp -0.203870 1.656820 -0.123 0.9026
jobs -0.684533 2.109752 -0.324 0.7469
jobs_unexp -3.830899 4.061786 -0.943 0.3501
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.04772 on 50 degrees of freedom
Multiple R-Squared: 0.3474, Adjusted R-squared: 0.1908
F-statistic: 2.218 on 12 and 50 DF, p-value: 0.02486
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.199278 1.495186 -0.133 0.8945
capital.l1 0.007448 0.137566 0.054 0.9570
loans.l2 -0.940634 1.461925 -0.643 0.5229
capital.l2 -0.103501 0.141794 -0.730 0.4688
const 0.058888 0.268205 0.220 0.8271
ten_two 0.055581 0.099637 0.558 0.5794
ten_two_unexp -0.637235 0.368731 -1.728 0.0901 .
ten 0.223392 1.644836 0.136 0.8925
ten_unexp 0.236109 1.804246 0.131 0.8964
cpi 6.399707 21.137425 0.303 0.7633
cpi_unexp -13.341128 19.291505 -0.692 0.4924
jobs -5.451069 24.565300 -0.222 0.8253
jobs_unexp 29.208097 47.294186 0.618 0.5397
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.5556 on 50 degrees of freedom
Multiple R-Squared: 0.09112, Adjusted R-squared: -0.127
F-statistic: 0.4177 on 12 and 50 DF, p-value: 0.9495
Covariance matrix of residuals:
loans capital
loans 0.002277 0.004341
capital 0.004341 0.308733
Correlation matrix of residuals:
loans capital
loans 1.0000 0.1637
capital 0.1637 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 63
Log Likelihood: 113.556
Roots of the characteristic polynomial:
0.4696 0.4696 0.3938 0.3938
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.121070 0.362348 -0.334 0.740
capital.l1 0.085671 0.410353 0.209 0.835
loans.l2 -0.189229 0.361072 -0.524 0.603
capital.l2 0.150852 0.415889 0.363 0.718
const 0.043438 0.083792 0.518 0.606
ten_two 0.001609 0.035360 0.045 0.964
ten_two_unexp -0.021400 0.133364 -0.160 0.873
ten -0.583732 0.632613 -0.923 0.361
ten_unexp 0.193757 0.685797 0.283 0.779
cpi 3.739877 7.899808 0.473 0.638
cpi_unexp -1.590598 7.129092 -0.223 0.824
jobs 5.619257 8.722290 0.644 0.522
jobs_unexp 5.544191 17.660233 0.314 0.755
Residual standard error: 0.2076 on 50 degrees of freedom
Multiple R-Squared: 0.09233, Adjusted R-squared: -0.1255
F-statistic: 0.4238 on 12 and 50 DF, p-value: 0.9467
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.11332 0.30997 -0.366 0.716
capital.l1 0.11125 0.35104 0.317 0.753
loans.l2 -0.05806 0.30888 -0.188 0.852
capital.l2 -0.13445 0.35578 -0.378 0.707
const 0.01719 0.07168 0.240 0.811
ten_two 0.01345 0.03025 0.445 0.659
ten_two_unexp -0.05489 0.11409 -0.481 0.633
ten -0.29753 0.54117 -0.550 0.585
ten_unexp -0.00410 0.58667 -0.007 0.994
cpi 7.24405 6.75794 1.072 0.289
cpi_unexp -8.63431 6.09862 -1.416 0.163
jobs 1.56732 7.46153 0.210 0.834
jobs_unexp 4.11177 15.10755 0.272 0.787
Residual standard error: 0.1776 on 50 degrees of freedom
Multiple R-Squared: 0.1348, Adjusted R-squared: -0.0729
F-statistic: 0.6489 on 12 and 50 DF, p-value: 0.79
Covariance matrix of residuals:
loans capital
loans 0.04308 0.03479
capital 0.03479 0.03153
Correlation matrix of residuals:
loans capital
loans 1.000 0.944
capital 0.944 1.000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 62
Log Likelihood: 160.301
Roots of the characteristic polynomial:
0.7634 0.6535 0.6535 0.4242 0.2868 0.2868
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.11475 0.15780 -0.727 0.4707
capital.l1 0.11094 0.13308 0.834 0.4087
loans.l2 -0.10597 0.13365 -0.793 0.4318
capital.l2 0.38134 0.14563 2.619 0.0118 *
loans.l3 0.12626 0.14395 0.877 0.3849
capital.l3 0.19613 0.14476 1.355 0.1819
const 0.05228 0.03267 1.600 0.1163
ten_two -0.02959 0.01402 -2.110 0.0402 *
ten_two_unexp 0.04584 0.05014 0.914 0.3652
ten 0.03565 0.23563 0.151 0.8804
ten_unexp -0.16957 0.25531 -0.664 0.5098
cpi 2.54870 3.03508 0.840 0.4053
cpi_unexp -0.47506 2.74142 -0.173 0.8632
jobs -1.14735 3.28675 -0.349 0.7286
jobs_unexp -1.92264 6.51547 -0.295 0.7692
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.07336 on 47 degrees of freedom
Multiple R-Squared: 0.3516, Adjusted R-squared: 0.1584
F-statistic: 1.82 on 14 and 47 DF, p-value: 0.06357
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.44878 0.17327 2.590 0.0127 *
capital.l1 0.22087 0.14613 1.511 0.1374
loans.l2 -0.05379 0.14675 -0.367 0.7156
capital.l2 0.08981 0.15991 0.562 0.5770
loans.l3 0.02807 0.15807 0.178 0.8598
capital.l3 -0.04648 0.15895 -0.292 0.7713
const -0.03155 0.03588 -0.879 0.3836
ten_two 0.01640 0.01540 1.065 0.2922
ten_two_unexp -0.03674 0.05506 -0.667 0.5078
ten 0.36165 0.25874 1.398 0.1688
ten_unexp -0.37328 0.28035 -1.331 0.1894
cpi -1.47026 3.33270 -0.441 0.6611
cpi_unexp 0.61536 3.01024 0.204 0.8389
jobs 3.51949 3.60905 0.975 0.3345
jobs_unexp -9.11303 7.15438 -1.274 0.2090
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.08055 on 47 degrees of freedom
Multiple R-Squared: 0.3064, Adjusted R-squared: 0.09975
F-statistic: 1.483 on 14 and 47 DF, p-value: 0.155
Covariance matrix of residuals:
loans capital
loans 0.005381 0.001021
capital 0.001021 0.006489
Correlation matrix of residuals:
loans capital
loans 1.0000 0.1728
capital 0.1728 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 53
Log Likelihood: 177.405
Roots of the characteristic polynomial:
0.9049 0.9049 0.886 0.886 0.8273 0.815 0.8135 0.8135 0.7619 0.7619 0.7456 0.7456 0.7311 0.7311 0.3307 0.1357
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.14997 0.19450 0.771 0.4471
capital.l1 -0.08719 0.15092 -0.578 0.5681
loans.l2 -0.10341 0.17617 -0.587 0.5619
capital.l2 -0.02757 0.14248 -0.193 0.8480
loans.l3 0.08649 0.17551 0.493 0.6260
capital.l3 0.02531 0.06727 0.376 0.7096
loans.l4 -0.11583 0.16695 -0.694 0.4935
capital.l4 0.07739 0.06027 1.284 0.2097
loans.l5 0.07847 0.18373 0.427 0.6726
capital.l5 0.09407 0.05986 1.571 0.1273
loans.l6 0.05391 0.18073 0.298 0.7677
capital.l6 0.14879 0.05667 2.626 0.0139 *
loans.l7 -0.08985 0.16760 -0.536 0.5961
capital.l7 0.01893 0.06914 0.274 0.7862
loans.l8 0.05585 0.04784 1.167 0.2529
capital.l8 0.14369 0.05972 2.406 0.0230 *
const 0.03158 0.04033 0.783 0.4402
ten_two -0.01424 0.01719 -0.828 0.4146
ten_two_unexp 0.01803 0.04715 0.382 0.7051
ten -0.13783 0.20602 -0.669 0.5090
ten_unexp 0.16837 0.23158 0.727 0.4732
cpi -5.46228 2.87117 -1.902 0.0674 .
cpi_unexp 3.61316 2.50105 1.445 0.1597
jobs 7.56194 3.47049 2.179 0.0379 *
jobs_unexp -3.73787 6.82244 -0.548 0.5881
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.05577 on 28 degrees of freedom
Multiple R-Squared: 0.7307, Adjusted R-squared: 0.4998
F-statistic: 3.165 on 24 and 28 DF, p-value: 0.002012
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.095596 0.245751 -0.389 0.7002
capital.l1 -0.223319 0.190688 -1.171 0.2514
loans.l2 0.273661 0.222585 1.229 0.2291
capital.l2 0.092649 0.180020 0.515 0.6108
loans.l3 0.194902 0.221751 0.879 0.3869
capital.l3 -0.069656 0.084999 -0.819 0.4194
loans.l4 0.029107 0.210936 0.138 0.8912
capital.l4 -0.086664 0.076148 -1.138 0.2647
loans.l5 0.167769 0.232134 0.723 0.4758
capital.l5 -0.066690 0.075637 -0.882 0.3854
loans.l6 0.254661 0.228354 1.115 0.2742
capital.l6 -0.037196 0.071596 -0.520 0.6075
loans.l7 -0.106274 0.211763 -0.502 0.6197
capital.l7 -0.143198 0.087363 -1.639 0.1124
loans.l8 -0.038405 0.060439 -0.635 0.5303
capital.l8 -0.138578 0.075455 -1.837 0.0769 .
const -0.019193 0.050955 -0.377 0.7093
ten_two -0.004599 0.021725 -0.212 0.8339
ten_two_unexp -0.011561 0.059567 -0.194 0.8475
ten 0.091288 0.260308 0.351 0.7284
ten_unexp -0.153909 0.292598 -0.526 0.6030
cpi 7.169429 3.627664 1.976 0.0580 .
cpi_unexp -5.017480 3.160022 -1.588 0.1236
jobs 3.382044 4.384898 0.771 0.4470
jobs_unexp -3.191026 8.620020 -0.370 0.7140
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.07047 on 28 degrees of freedom
Multiple R-Squared: 0.4372, Adjusted R-squared: -0.04528
F-statistic: 0.9061 on 24 and 28 DF, p-value: 0.5939
Covariance matrix of residuals:
loans capital
loans 0.0031106 -0.0004949
capital -0.0004949 0.0049657
Correlation matrix of residuals:
loans capital
loans 1.0000 -0.1259
capital -0.1259 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 56
Log Likelihood: 238.486
Roots of the characteristic polynomial:
0.9257 0.9257 0.9144 0.9144 0.9143 0.9143 0.907 0.907 0.8989 0.8989 0.8859 0.8859 0.8811 0.8811 0.8798 0.8798 0.3504 0.3504
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.041885 0.162243 -0.258 0.7981
capital.l1 0.086048 0.358603 0.240 0.8121
loans.l2 0.164076 0.126884 1.293 0.2062
capital.l2 -0.672432 0.335864 -2.002 0.0547 .
loans.l3 -0.165412 0.127165 -1.301 0.2036
capital.l3 0.114684 0.333230 0.344 0.7332
loans.l4 0.118834 0.113889 1.043 0.3054
capital.l4 0.121755 0.317073 0.384 0.7038
loans.l5 0.148862 0.133709 1.113 0.2747
capital.l5 0.448962 0.324181 1.385 0.1766
loans.l6 -0.161314 0.122124 -1.321 0.1969
capital.l6 0.679549 0.313005 2.171 0.0383 *
loans.l7 -0.035953 0.114200 -0.315 0.7551
capital.l7 0.169608 0.298182 0.569 0.5739
loans.l8 0.121511 0.104099 1.167 0.2526
capital.l8 -1.530870 0.309511 -4.946 2.95e-05 ***
loans.l9 -0.129866 0.102467 -1.267 0.2151
capital.l9 -0.556548 0.419449 -1.327 0.1949
const -0.022112 0.026557 -0.833 0.4118
ten_two -0.001679 0.012690 -0.132 0.8957
ten_two_unexp -0.035853 0.048753 -0.735 0.4680
ten -0.090367 0.219558 -0.412 0.6837
ten_unexp 0.041297 0.240958 0.171 0.8651
cpi -2.519185 3.345837 -0.753 0.4576
cpi_unexp 5.317475 2.827175 1.881 0.0701 .
jobs 5.542698 4.399719 1.260 0.2178
jobs_unexp -13.361434 7.259394 -1.841 0.0759 .
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.05657 on 29 degrees of freedom
Multiple R-Squared: 0.6362, Adjusted R-squared: 0.31
F-statistic: 1.95 on 26 and 29 DF, p-value: 0.04141
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.010794 0.082854 -0.130 0.89725
capital.l1 -0.241794 0.183132 -1.320 0.19705
loans.l2 0.090265 0.064797 1.393 0.17420
capital.l2 -0.090525 0.171519 -0.528 0.60167
loans.l3 0.044233 0.064941 0.681 0.50119
capital.l3 0.005577 0.170174 0.033 0.97408
loans.l4 0.092803 0.058161 1.596 0.12141
capital.l4 -0.148276 0.161923 -0.916 0.36737
loans.l5 0.041603 0.068283 0.609 0.54708
capital.l5 -0.258675 0.165553 -1.562 0.12902
loans.l6 -0.020358 0.062366 -0.326 0.74644
capital.l6 -0.003885 0.159846 -0.024 0.98078
loans.l7 0.002387 0.058320 0.041 0.96763
capital.l7 -0.184605 0.152276 -1.212 0.23518
loans.l8 0.120365 0.053161 2.264 0.03122 *
capital.l8 -0.251247 0.158061 -1.590 0.12278
loans.l9 -0.001276 0.052328 -0.024 0.98071
capital.l9 -0.182958 0.214205 -0.854 0.40004
const -0.008140 0.013562 -0.600 0.55302
ten_two -0.018250 0.006481 -2.816 0.00865 **
ten_two_unexp -0.001945 0.024897 -0.078 0.93826
ten 0.103673 0.112124 0.925 0.36279
ten_unexp -0.088637 0.123052 -0.720 0.47710
cpi 3.855360 1.708655 2.256 0.03176 *
cpi_unexp -1.417531 1.443784 -0.982 0.33431
jobs -5.000535 2.246853 -2.226 0.03398 *
jobs_unexp -1.239350 3.707234 -0.334 0.74055
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.02889 on 29 degrees of freedom
Multiple R-Squared: 0.5472, Adjusted R-squared: 0.1412
F-statistic: 1.348 on 26 and 29 DF, p-value: 0.2171
Covariance matrix of residuals:
loans capital
loans 0.0032005 0.0003396
capital 0.0003396 0.0008347
Correlation matrix of residuals:
loans capital
loans 1.0000 0.2078
capital 0.2078 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 64
Log Likelihood: 262.794
Roots of the characteristic polynomial:
0.09883 0.09883
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.023952 0.147802 0.162 0.8719
capital.l1 0.055911 0.126149 0.443 0.6594
const 0.030568 0.013216 2.313 0.0246 *
ten_two 0.003742 0.005685 0.658 0.5132
ten_two_unexp -0.026310 0.022270 -1.181 0.2427
ten -0.097725 0.096971 -1.008 0.3181
ten_unexp 0.078018 0.104343 0.748 0.4579
cpi 0.526630 1.254396 0.420 0.6763
cpi_unexp -1.220782 1.155492 -1.057 0.2955
jobs -1.430955 1.441195 -0.993 0.3253
jobs_unexp 5.563306 2.982523 1.865 0.0677 .
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.0332 on 53 degrees of freedom
Multiple R-Squared: 0.1286, Adjusted R-squared: -0.03584
F-statistic: 0.782 on 10 and 53 DF, p-value: 0.6455
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.248049 0.169696 -1.462 0.14972
capital.l1 -0.171208 0.144835 -1.182 0.24245
const 0.023999 0.015174 1.582 0.11968
ten_two 0.005375 0.006527 0.823 0.41392
ten_two_unexp 0.038904 0.025569 1.522 0.13407
ten 0.053499 0.111335 0.481 0.63283
ten_unexp -0.038416 0.119799 -0.321 0.74972
cpi -1.932854 1.440208 -1.342 0.18530
cpi_unexp 1.681648 1.326653 1.268 0.21049
jobs 4.613979 1.654677 2.788 0.00734 **
jobs_unexp -5.105299 3.424318 -1.491 0.14192
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.03812 on 53 degrees of freedom
Multiple R-Squared: 0.1587, Adjusted R-squared: -3.283e-05
F-statistic: 0.9998 on 10 and 53 DF, p-value: 0.4557
Covariance matrix of residuals:
loans capital
loans 0.001102 0.000496
capital 0.000496 0.001453
Correlation matrix of residuals:
loans capital
loans 1.0000 0.3919
capital 0.3919 1.0000Warning in log(sigma.det): NaNs producedWarning in log(sigma.det): NaNs produced
Warning in log(sigma.det): NaNs produced
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 20
Log Likelihood: 74.872
Roots of the characteristic polynomial:
0.7351 0.7351 0.6577 0.1512
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.08120 0.32480 0.250 0.8098
capital.l1 -2.43322 1.35963 -1.790 0.1166
loans.l2 -0.21269 0.35432 -0.600 0.5673
capital.l2 -3.26229 1.74246 -1.872 0.1033
const -0.02288 0.29234 -0.078 0.9398
ten_two 0.03926 0.07690 0.511 0.6254
ten_two_unexp -0.67890 0.32265 -2.104 0.0734 .
ten -0.11682 0.72286 -0.162 0.8762
ten_unexp 0.38279 0.72904 0.525 0.6158
cpi -32.70576 19.30787 -1.694 0.1341
cpi_unexp 62.11949 28.25823 2.198 0.0639 .
jobs 62.64236 73.61498 0.851 0.4229
jobs_unexp -93.29218 68.96501 -1.353 0.2182
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.1107 on 7 degrees of freedom
Multiple R-Squared: 0.5533, Adjusted R-squared: -0.2126
F-statistic: 0.7224 on 12 and 7 DF, p-value: 0.7041
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.06298 0.10502 0.600 0.568
capital.l1 -0.66227 0.43963 -1.506 0.176
loans.l2 -0.02734 0.11457 -0.239 0.818
capital.l2 -0.16658 0.56341 -0.296 0.776
const 0.03337 0.09453 0.353 0.734
ten_two 0.02397 0.02486 0.964 0.367
ten_two_unexp -0.03802 0.10433 -0.364 0.726
ten -0.04725 0.23373 -0.202 0.846
ten_unexp -0.02739 0.23573 -0.116 0.911
cpi -10.38406 6.24307 -1.663 0.140
cpi_unexp 8.55774 9.13710 0.937 0.380
jobs 2.37799 23.80290 0.100 0.923
jobs_unexp 6.87355 22.29936 0.308 0.767
Residual standard error: 0.03581 on 7 degrees of freedom
Multiple R-Squared: 0.5705, Adjusted R-squared: -0.1658
F-statistic: 0.7748 on 12 and 7 DF, p-value: 0.6674
Covariance matrix of residuals:
loans capital
loans 0.0122634 0.0002139
capital 0.0002139 0.0012821
Correlation matrix of residuals:
loans capital
loans 1.00000 0.05395
capital 0.05395 1.00000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 55
Log Likelihood: 191.536
Roots of the characteristic polynomial:
1.096 1.096 1.075 1.075 1.068 1.068 1.029 1.004 1.004 0.9384 0.9384 0.9286 0.9286 0.8853 0.8853 0.8706 0.8706 0.7535 0.6541 0.2417
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.100808 0.195264 0.516 0.6100
capital.l1 -0.055446 0.053092 -1.044 0.3059
loans.l2 0.272817 0.201119 1.356 0.1866
capital.l2 -0.008838 0.053762 -0.164 0.8707
loans.l3 0.103942 0.199472 0.521 0.6067
capital.l3 -0.023750 0.060621 -0.392 0.6984
loans.l4 0.402504 0.198785 2.025 0.0533 .
capital.l4 -0.086430 0.060923 -1.419 0.1679
loans.l5 0.157877 0.197485 0.799 0.4313
capital.l5 0.007037 0.057093 0.123 0.9029
loans.l6 0.058247 0.229479 0.254 0.8016
capital.l6 -0.017450 0.094051 -0.186 0.8542
loans.l7 0.282855 0.228713 1.237 0.2272
capital.l7 0.034653 0.099459 0.348 0.7303
loans.l8 -0.315670 0.216086 -1.461 0.1560
capital.l8 0.017059 0.102138 0.167 0.8686
loans.l9 -0.267417 0.186643 -1.433 0.1638
capital.l9 0.020531 0.102066 0.201 0.8421
loans.l10 0.087468 0.201787 0.433 0.6683
capital.l10 0.006861 0.103746 0.066 0.9478
const 0.019001 0.022748 0.835 0.4112
ten_two -0.009496 0.007467 -1.272 0.2147
ten_two_unexp 0.045738 0.029521 1.549 0.1334
ten 0.267154 0.146311 1.826 0.0794 .
ten_unexp -0.280629 0.161608 -1.736 0.0943 .
cpi -1.385690 1.915317 -0.723 0.4758
cpi_unexp 0.671853 1.613574 0.416 0.6806
jobs 0.013414 2.142182 0.006 0.9951
jobs_unexp -0.794549 3.572607 -0.222 0.8257
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.03632 on 26 degrees of freedom
Multiple R-Squared: 0.6609, Adjusted R-squared: 0.2957
F-statistic: 1.81 on 28 and 26 DF, p-value: 0.06616
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.12841 0.59199 -0.217 0.82997
capital.l1 -0.43500 0.16096 -2.703 0.01196 *
loans.l2 -0.77278 0.60974 -1.267 0.21625
capital.l2 -0.48939 0.16299 -3.003 0.00585 **
loans.l3 0.47356 0.60474 0.783 0.44066
capital.l3 -0.56038 0.18379 -3.049 0.00522 **
loans.l4 1.38042 0.60266 2.291 0.03035 *
capital.l4 -0.33281 0.18470 -1.802 0.08318 .
loans.l5 0.96022 0.59872 1.604 0.12084
capital.l5 -0.14458 0.17309 -0.835 0.41116
loans.l6 1.43857 0.69572 2.068 0.04875 *
capital.l6 -0.79794 0.28514 -2.798 0.00954 **
loans.l7 -0.34365 0.69339 -0.496 0.62434
capital.l7 -0.77582 0.30153 -2.573 0.01614 *
loans.l8 -2.29499 0.65511 -3.503 0.00168 **
capital.l8 -0.58753 0.30965 -1.897 0.06894 .
loans.l9 -0.46597 0.56585 -0.823 0.41772
capital.l9 -0.50748 0.30943 -1.640 0.11304
loans.l10 0.84848 0.61176 1.387 0.17723
capital.l10 1.07572 0.31453 3.420 0.00208 **
const 0.15931 0.06897 2.310 0.02908 *
ten_two -0.05375 0.02264 -2.374 0.02524 *
ten_two_unexp 0.13903 0.08950 1.553 0.13242
ten 0.87291 0.44357 1.968 0.05983 .
ten_unexp -0.50563 0.48995 -1.032 0.31158
cpi 4.16886 5.80671 0.718 0.47920
cpi_unexp -1.62448 4.89191 -0.332 0.74249
jobs -1.20805 6.49450 -0.186 0.85388
jobs_unexp -2.92704 10.83115 -0.270 0.78911
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.1101 on 26 degrees of freedom
Multiple R-Squared: 0.7877, Adjusted R-squared: 0.5592
F-statistic: 3.446 on 28 and 26 DF, p-value: 0.001092
Covariance matrix of residuals:
loans capital
loans 0.001319 -0.001226
capital -0.001226 0.012123
Correlation matrix of residuals:
loans capital
loans 1.0000 -0.3066
capital -0.3066 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 64
Log Likelihood: -199.031
Roots of the characteristic polynomial:
0.1592 0.1592
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 2.045e-02 1.216e-01 0.168 0.867079
capital.l1 -1.573e+02 4.183e+01 -3.762 0.000423 ***
const 1.614e-01 9.168e+00 0.018 0.986020
ten_two 1.277e+00 3.907e+00 0.327 0.744984
ten_two_unexp -2.769e+01 1.425e+01 -1.943 0.057295 .
ten -8.524e+00 6.795e+01 -0.125 0.900642
ten_unexp 5.363e+01 7.333e+01 0.731 0.467766
cpi -7.489e+01 8.532e+02 -0.088 0.930388
cpi_unexp 3.972e+02 7.912e+02 0.502 0.617725
jobs 1.228e+03 9.084e+02 1.352 0.182267
jobs_unexp -3.698e+03 1.923e+03 -1.923 0.059812 .
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 22.67 on 53 degrees of freedom
Multiple R-Squared: 0.282, Adjusted R-squared: 0.1465
F-statistic: 2.081 on 10 and 53 DF, p-value: 0.04261
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.0001781 0.0003749 0.475 0.6367
capital.l1 -0.1301857 0.1289871 -1.009 0.3174
const 0.0113406 0.0282719 0.401 0.6899
ten_two 0.0185731 0.0120472 1.542 0.1291
ten_two_unexp -0.0159146 0.0439448 -0.362 0.7187
ten 0.4045585 0.2095375 1.931 0.0589 .
ten_unexp -0.5059600 0.2261173 -2.238 0.0295 *
cpi -6.5419698 2.6310264 -2.486 0.0161 *
cpi_unexp 5.5032498 2.4399397 2.255 0.0283 *
jobs 5.4680499 2.8011648 1.952 0.0562 .
jobs_unexp -5.6667300 5.9292331 -0.956 0.3435
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.06992 on 53 degrees of freedom
Multiple R-Squared: 0.2446, Adjusted R-squared: 0.1021
F-statistic: 1.716 on 10 and 53 DF, p-value: 0.1012
Covariance matrix of residuals:
loans capital
loans 514.10518 -0.033678
capital -0.03368 0.004889
Correlation matrix of residuals:
loans capital
loans 1.00000 -0.02124
capital -0.02124 1.00000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 59
Log Likelihood: 329.648
Roots of the characteristic polynomial:
0.9884 0.9884 0.977 0.9457 0.7812 0.7812 0.6944 0.6944 0.6684 0.6684 0.5721 0.1675
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.257863 0.179344 1.438 0.1587
capital.l1 0.039629 0.248149 0.160 0.8740
loans.l2 0.072744 0.199505 0.365 0.7174
capital.l2 -0.058153 0.253678 -0.229 0.8199
loans.l3 0.490214 0.197698 2.480 0.0177 *
capital.l3 -0.141641 0.227755 -0.622 0.5377
loans.l4 0.019784 0.175000 0.113 0.9106
capital.l4 -0.205071 0.229973 -0.892 0.3782
loans.l5 0.088804 0.198355 0.448 0.6569
capital.l5 -0.023856 0.248156 -0.096 0.9239
loans.l6 -0.032001 0.172866 -0.185 0.8541
capital.l6 -0.315415 0.246181 -1.281 0.2079
const 0.007375 0.013593 0.543 0.5906
ten_two -0.001090 0.004626 -0.236 0.8150
ten_two_unexp 0.028283 0.019682 1.437 0.1589
ten 0.043826 0.077188 0.568 0.5735
ten_unexp -0.043195 0.082174 -0.526 0.6022
cpi -0.799333 0.972261 -0.822 0.4161
cpi_unexp 0.618028 0.941960 0.656 0.5157
jobs -0.203802 1.110706 -0.183 0.8554
jobs_unexp 1.438034 2.277565 0.631 0.5316
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.02387 on 38 degrees of freedom
Multiple R-Squared: 0.4801, Adjusted R-squared: 0.2064
F-statistic: 1.754 on 20 and 38 DF, p-value: 0.06686
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.0261847 0.1088237 -0.241 0.81115
capital.l1 -0.2170970 0.1505736 -1.442 0.15755
loans.l2 -0.2491179 0.1210569 -2.058 0.04651 *
capital.l2 -0.2102169 0.1539281 -1.366 0.18007
loans.l3 0.0312517 0.1199602 0.261 0.79587
capital.l3 -0.4232052 0.1381988 -3.062 0.00402 **
loans.l4 0.0021988 0.1061873 0.021 0.98359
capital.l4 0.3928395 0.1395444 2.815 0.00768 **
loans.l5 0.2578067 0.1203589 2.142 0.03867 *
capital.l5 -0.2983595 0.1505778 -1.981 0.05481 .
loans.l6 0.0028350 0.1048926 0.027 0.97858
capital.l6 -0.3272390 0.1493795 -2.191 0.03468 *
const -0.0006647 0.0082482 -0.081 0.93619
ten_two -0.0001641 0.0028070 -0.058 0.95369
ten_two_unexp 0.0032011 0.0119426 0.268 0.79012
ten -0.0246513 0.0468367 -0.526 0.60172
ten_unexp 0.0288612 0.0498618 0.579 0.56612
cpi -0.4015188 0.5899546 -0.681 0.50026
cpi_unexp 0.6541924 0.5715682 1.145 0.25955
jobs 0.9368737 0.6739611 1.390 0.17259
jobs_unexp -2.2796775 1.3819948 -1.650 0.10728
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.01448 on 38 degrees of freedom
Multiple R-Squared: 0.9258, Adjusted R-squared: 0.8868
F-statistic: 23.72 on 20 and 38 DF, p-value: 1.223e-15
Covariance matrix of residuals:
loans capital
loans 5.696e-04 5.939e-05
capital 5.939e-05 2.097e-04
Correlation matrix of residuals:
loans capital
loans 1.0000 0.1719
capital 0.1719 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 34
Log Likelihood: 135.569
Roots of the characteristic polynomial:
1.03 1.03 0.9937 0.9937 0.9798 0.9798 0.9794 0.9794 0.9262 0.9262 0.8392 0.8392 0.8122 0.8122 0.6971 0.5907 0.5182 0.5182 0.1895 0.1895
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.445810 0.468685 0.951 0.3852
capital.l1 0.041183 0.069193 0.595 0.5776
loans.l2 0.349223 0.359208 0.972 0.3756
capital.l2 -0.023263 0.087948 -0.265 0.8019
loans.l3 -0.101697 0.407570 -0.250 0.8129
capital.l3 -0.017334 0.102724 -0.169 0.8726
loans.l4 -0.462928 0.376356 -1.230 0.2734
capital.l4 0.035655 0.091711 0.389 0.7134
loans.l5 0.207339 0.299539 0.692 0.5196
capital.l5 0.165424 0.076375 2.166 0.0826 .
loans.l6 0.153610 0.330109 0.465 0.6613
capital.l6 -0.008896 0.094730 -0.094 0.9288
loans.l7 0.205101 0.302022 0.679 0.5272
capital.l7 0.015422 0.088196 0.175 0.8681
loans.l8 0.075974 0.280791 0.271 0.7975
capital.l8 0.145191 0.096486 1.505 0.1927
loans.l9 0.342749 0.213482 1.606 0.1693
capital.l9 0.145739 0.085981 1.695 0.1508
loans.l10 -0.034470 0.018672 -1.846 0.1242
capital.l10 0.193553 0.112423 1.722 0.1458
const -0.087035 0.070275 -1.238 0.2705
ten_two 0.030360 0.034043 0.892 0.4133
ten_two_unexp -0.058456 0.130502 -0.448 0.6729
ten -0.339902 0.211498 -1.607 0.1689
ten_unexp 0.321843 0.347419 0.926 0.3968
cpi -6.525765 6.456956 -1.011 0.3586
cpi_unexp 4.232538 5.516604 0.767 0.4776
jobs 17.955911 11.383833 1.577 0.1755
jobs_unexp -0.644175 7.434160 -0.087 0.9343
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.04279 on 5 degrees of freedom
Multiple R-Squared: 0.8824, Adjusted R-squared: 0.224
F-statistic: 1.34 on 28 and 5 DF, p-value: 0.4043
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -2.430322 1.980723 -1.227 0.2744
capital.l1 -0.111626 0.292418 -0.382 0.7183
loans.l2 0.570565 1.518058 0.376 0.7224
capital.l2 -0.403650 0.371680 -1.086 0.3270
loans.l3 -0.542420 1.722443 -0.315 0.7655
capital.l3 0.310219 0.434127 0.715 0.5068
loans.l4 0.774108 1.590529 0.487 0.6471
capital.l4 -0.438514 0.387581 -1.131 0.3092
loans.l5 -0.089642 1.265890 -0.071 0.9463
capital.l5 -0.042761 0.322769 -0.132 0.8998
loans.l6 -0.743249 1.395082 -0.533 0.6170
capital.l6 -0.099161 0.400340 -0.248 0.8142
loans.l7 -0.001532 1.276386 -0.001 0.9991
capital.l7 -0.073253 0.372728 -0.197 0.8519
loans.l8 0.122724 1.186660 0.103 0.9217
capital.l8 -0.030838 0.407761 -0.076 0.9426
loans.l9 -1.007993 0.902202 -1.117 0.3147
capital.l9 -0.316272 0.363366 -0.870 0.4239
loans.l10 0.103162 0.078910 1.307 0.2480
capital.l10 -0.534980 0.475115 -1.126 0.3113
const 0.217830 0.296990 0.733 0.4962
ten_two -0.057913 0.143870 -0.403 0.7039
ten_two_unexp -1.407410 0.551519 -2.552 0.0511 .
ten 0.323064 0.893820 0.361 0.7325
ten_unexp 2.204282 1.468237 1.501 0.1936
cpi 29.490668 27.287941 1.081 0.3292
cpi_unexp 8.139218 23.313890 0.349 0.7412
jobs -32.877556 48.109566 -0.683 0.5247
jobs_unexp -0.933061 31.417730 -0.030 0.9775
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.1808 on 5 degrees of freedom
Multiple R-Squared: 0.7708, Adjusted R-squared: -0.5125
F-statistic: 0.6007 on 28 and 5 DF, p-value: 0.8241
Covariance matrix of residuals:
loans capital
loans 0.001831 -0.002311
capital -0.002311 0.032703
Correlation matrix of residuals:
loans capital
loans 1.0000 -0.2986
capital -0.2986 1.0000Warning in cor(resids): the standard deviation is zero[1] "error"
[1] "error"Warning in xy.coords(x, y, xlabel, ylabel, log): NAs introduced by coercionWarning in min(x): no non-missing arguments to min; returning InfWarning in max(x): no non-missing arguments to max; returning -Inf[1] "error"
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 36
Log Likelihood: 125.993
Roots of the characteristic polynomial:
1.071 1.071 1.002 1.002 0.9963 0.9963 0.9756 0.9756 0.9699 0.9699 0.9063 0.9063 0.9011 0.9011 0.8423 0.8423 0.8252 0.8252 0.7455 0.7455
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.105004 0.547095 -0.192 0.853
capital.l1 -0.056941 0.384365 -0.148 0.886
loans.l2 0.220522 0.345657 0.638 0.544
capital.l2 0.012295 0.498966 0.025 0.981
loans.l3 0.510840 0.479035 1.066 0.322
capital.l3 -0.001261 0.254063 -0.005 0.996
loans.l4 0.134701 0.500756 0.269 0.796
capital.l4 -0.233419 0.277049 -0.843 0.427
loans.l5 0.191408 0.582576 0.329 0.752
capital.l5 -0.249827 0.313832 -0.796 0.452
loans.l6 0.003523 0.464645 0.008 0.994
capital.l6 -0.073909 0.325062 -0.227 0.827
loans.l7 0.101327 0.454919 0.223 0.830
capital.l7 -0.222756 0.283670 -0.785 0.458
loans.l8 -0.106344 0.528153 -0.201 0.846
capital.l8 -0.054996 0.314718 -0.175 0.866
loans.l9 -0.074154 0.445624 -0.166 0.873
capital.l9 0.140317 0.561435 0.250 0.810
loans.l10 -0.371142 0.333029 -1.114 0.302
capital.l10 -0.030705 0.391202 -0.078 0.940
const 0.208909 0.251373 0.831 0.433
ten_two -0.054121 0.072250 -0.749 0.478
ten_two_unexp -0.027840 0.348712 -0.080 0.939
ten 0.377486 0.520091 0.726 0.492
ten_unexp -0.359375 0.843183 -0.426 0.683
cpi 6.357281 12.560526 0.506 0.628
cpi_unexp 0.114157 9.590558 0.012 0.991
jobs -7.549319 22.132465 -0.341 0.743
jobs_unexp 7.822775 17.931013 0.436 0.676
Residual standard error: 0.1122 on 7 degrees of freedom
Multiple R-Squared: 0.5984, Adjusted R-squared: -1.008
F-statistic: 0.3725 on 28 and 7 DF, p-value: 0.9707
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.158102 0.399538 0.396 0.7041
capital.l1 -0.805450 0.280698 -2.869 0.0240 *
loans.l2 0.805905 0.252430 3.193 0.0152 *
capital.l2 -0.880500 0.364390 -2.416 0.0463 *
loans.l3 -0.277570 0.349835 -0.793 0.4536
capital.l3 -0.058767 0.185540 -0.317 0.7607
loans.l4 -0.623919 0.365697 -1.706 0.1318
capital.l4 -0.242236 0.202326 -1.197 0.2702
loans.l5 -1.438227 0.425450 -3.380 0.0118 *
capital.l5 -0.329870 0.229189 -1.439 0.1932
loans.l6 0.156685 0.339326 0.462 0.6583
capital.l6 -0.303174 0.237390 -1.277 0.2423
loans.l7 0.936836 0.332223 2.820 0.0258 *
capital.l7 -0.303885 0.207161 -1.467 0.1858
loans.l8 1.051026 0.385705 2.725 0.0296 *
capital.l8 -0.854002 0.229836 -3.716 0.0075 **
loans.l9 0.318140 0.325435 0.978 0.3608
capital.l9 -1.090478 0.410011 -2.660 0.0325 *
loans.l10 0.157796 0.243208 0.649 0.5372
capital.l10 -0.481383 0.285691 -1.685 0.1359
const 0.327052 0.183576 1.782 0.1180
ten_two -0.038915 0.052763 -0.738 0.4848
ten_two_unexp 0.264659 0.254661 1.039 0.3332
ten -0.388625 0.379818 -1.023 0.3403
ten_unexp -0.004805 0.615769 -0.008 0.9940
cpi -15.852468 9.172835 -1.728 0.1276
cpi_unexp 13.360414 7.003895 1.908 0.0981 .
jobs 42.584603 16.163133 2.635 0.0337 *
jobs_unexp 8.011202 13.094851 0.612 0.5600
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.08193 on 7 degrees of freedom
Multiple R-Squared: 0.916, Adjusted R-squared: 0.5799
F-statistic: 2.726 on 28 and 7 DF, p-value: 0.08621
Covariance matrix of residuals:
loans capital
loans 0.012586 -0.001332
capital -0.001332 0.006713
Correlation matrix of residuals:
loans capital
loans 1.0000 -0.1449
capital -0.1449 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 55
Log Likelihood: 285.423
Roots of the characteristic polynomial:
1.066 1.066 0.9701 0.9701 0.9615 0.9615 0.9551 0.9551 0.9363 0.927 0.927 0.919 0.919 0.913 0.913 0.9055 0.9055 0.8939 0.8939 0.04842
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.413161 0.174421 -2.369 0.0256 *
capital.l1 0.253785 0.220747 1.150 0.2607
loans.l2 -0.174808 0.208992 -0.836 0.4105
capital.l2 0.241246 0.260162 0.927 0.3623
loans.l3 0.186355 0.192559 0.968 0.3421
capital.l3 0.269546 0.241843 1.115 0.2752
loans.l4 -0.049693 0.203054 -0.245 0.8086
capital.l4 0.168475 0.206631 0.815 0.4223
loans.l5 -0.123102 0.189513 -0.650 0.5217
capital.l5 0.365224 0.187079 1.952 0.0618 .
loans.l6 -0.136577 0.193751 -0.705 0.4871
capital.l6 0.076894 0.185768 0.414 0.6823
loans.l7 -0.228775 0.186970 -1.224 0.2321
capital.l7 0.126350 0.166518 0.759 0.4548
loans.l8 -0.167272 0.183836 -0.910 0.3712
capital.l8 0.064200 0.171232 0.375 0.7108
loans.l9 -0.038681 0.155183 -0.249 0.8051
capital.l9 0.275081 0.188241 1.461 0.1559
loans.l10 0.352559 0.155593 2.266 0.0320 *
capital.l10 0.075951 0.145872 0.521 0.6070
const -0.024191 0.036694 -0.659 0.5155
ten_two -0.001473 0.008898 -0.166 0.8698
ten_two_unexp 0.039195 0.023698 1.654 0.1102
ten 0.172478 0.128051 1.347 0.1896
ten_unexp -0.200447 0.148419 -1.351 0.1885
cpi -2.771464 1.853451 -1.495 0.1469
cpi_unexp 2.364727 1.978992 1.195 0.2429
jobs 8.085091 3.507680 2.305 0.0294 *
jobs_unexp -4.970025 4.229849 -1.175 0.2506
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.0276 on 26 degrees of freedom
Multiple R-Squared: 0.6443, Adjusted R-squared: 0.2612
F-statistic: 1.682 on 28 and 26 DF, p-value: 0.0932
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.20919 0.21887 0.956 0.34799
capital.l1 -0.09969 0.27700 -0.360 0.72183
loans.l2 0.48288 0.26225 1.841 0.07701 .
capital.l2 -0.92092 0.32646 -2.821 0.00905 **
loans.l3 0.38691 0.24163 1.601 0.12140
capital.l3 -0.77891 0.30347 -2.567 0.01637 *
loans.l4 0.77642 0.25480 3.047 0.00525 **
capital.l4 -0.86247 0.25929 -3.326 0.00263 **
loans.l5 0.40328 0.23781 1.696 0.10186
capital.l5 -0.64272 0.23475 -2.738 0.01101 *
loans.l6 0.55225 0.24312 2.271 0.03163 *
capital.l6 -0.54154 0.23311 -2.323 0.02826 *
loans.l7 0.42325 0.23461 1.804 0.08283 .
capital.l7 -0.49245 0.20895 -2.357 0.02625 *
loans.l8 0.25678 0.23068 1.113 0.27583
capital.l8 -0.23018 0.21487 -1.071 0.29390
loans.l9 0.22902 0.19473 1.176 0.25020
capital.l9 -0.65326 0.23621 -2.766 0.01031 *
loans.l10 0.34094 0.19524 1.746 0.09257 .
capital.l10 0.02743 0.18304 0.150 0.88205
const 0.15092 0.04605 3.278 0.00297 **
ten_two -0.03445 0.01117 -3.086 0.00477 **
ten_two_unexp -0.05431 0.02974 -1.826 0.07933 .
ten -0.05705 0.16068 -0.355 0.72541
ten_unexp 0.13454 0.18624 0.722 0.47649
cpi 2.00792 2.32576 0.863 0.39585
cpi_unexp -0.15642 2.48329 -0.063 0.95026
jobs -13.06718 4.40153 -2.969 0.00635 **
jobs_unexp 9.55617 5.30772 1.800 0.08341 .
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.03463 on 26 degrees of freedom
Multiple R-Squared: 0.6797, Adjusted R-squared: 0.3349
F-statistic: 1.971 on 28 and 26 DF, p-value: 0.04295
Covariance matrix of residuals:
loans capital
loans 0.0007617 0.0006609
capital 0.0006609 0.0011993
Correlation matrix of residuals:
loans capital
loans 1.0000 0.6915
capital 0.6915 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 32
Log Likelihood: 218.169
Roots of the characteristic polynomial:
0.9895 0.9895 0.9492 0.9492 0.9488 0.9488 0.9386 0.9386 0.9286 0.9286 0.9127 0.9127 0.9102 0.9102 0.8951 0.8951 0.8699 0.8699 0.8071 0.01415
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.402008 0.619448 -0.649 0.563
capital.l1 0.090230 1.805843 0.050 0.963
loans.l2 -0.158273 0.684968 -0.231 0.832
capital.l2 1.093519 1.472844 0.742 0.512
loans.l3 0.419613 0.735058 0.571 0.608
capital.l3 0.260986 1.439494 0.181 0.868
loans.l4 0.196256 0.527415 0.372 0.735
capital.l4 0.861006 1.199550 0.718 0.525
loans.l5 -0.220503 0.609212 -0.362 0.741
capital.l5 -0.603489 0.994407 -0.607 0.587
loans.l6 0.142873 0.466406 0.306 0.779
capital.l6 -0.324080 1.416270 -0.229 0.834
loans.l7 0.161419 0.538659 0.300 0.784
capital.l7 0.517956 1.049518 0.494 0.656
loans.l8 0.241672 0.651364 0.371 0.735
capital.l8 0.311513 0.870853 0.358 0.744
loans.l9 0.036523 0.605078 0.060 0.956
capital.l9 0.477239 1.286648 0.371 0.735
loans.l10 -0.119356 0.199070 -0.600 0.591
capital.l10 -1.012475 1.032610 -0.981 0.399
const -0.055138 0.326038 -0.169 0.876
ten_two 0.001368 0.058062 0.024 0.983
ten_two_unexp -0.119933 0.187253 -0.640 0.567
ten -0.016976 0.514485 -0.033 0.976
ten_unexp 0.214178 0.581400 0.368 0.737
cpi 1.514362 14.343527 0.106 0.923
cpi_unexp -3.752292 12.239878 -0.307 0.779
jobs -0.555312 42.034000 -0.013 0.990
jobs_unexp -4.598826 28.371422 -0.162 0.882
Residual standard error: 0.08092 on 3 degrees of freedom
Multiple R-Squared: 0.7562, Adjusted R-squared: -1.519
F-statistic: 0.3323 on 28 and 3 DF, p-value: 0.9531
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.13502 0.06487 -2.082 0.1288
capital.l1 -0.68842 0.18910 -3.641 0.0357 *
loans.l2 -0.11421 0.07173 -1.592 0.2095
capital.l2 -0.49079 0.15423 -3.182 0.0500 .
loans.l3 0.02561 0.07697 0.333 0.7612
capital.l3 -0.32349 0.15074 -2.146 0.1212
loans.l4 0.17769 0.05523 3.217 0.0487 *
capital.l4 0.14041 0.12561 1.118 0.3451
loans.l5 -0.08364 0.06379 -1.311 0.2812
capital.l5 0.26826 0.10413 2.576 0.0820 .
loans.l6 -0.17914 0.04884 -3.668 0.0350 *
capital.l6 -0.04639 0.14830 -0.313 0.7749
loans.l7 -0.25598 0.05641 -4.538 0.0200 *
capital.l7 0.06788 0.10990 0.618 0.5805
loans.l8 -0.13419 0.06821 -1.967 0.1438
capital.l8 0.01339 0.09119 0.147 0.8926
loans.l9 -0.15058 0.06336 -2.377 0.0979 .
capital.l9 0.43774 0.13473 3.249 0.0475 *
loans.l10 -0.01906 0.02085 -0.915 0.4278
capital.l10 -0.18586 0.10813 -1.719 0.1841
const 0.12402 0.03414 3.633 0.0359 *
ten_two 0.02554 0.00608 4.200 0.0246 *
ten_two_unexp -0.03602 0.01961 -1.837 0.1635
ten 0.11461 0.05387 2.127 0.1233
ten_unexp -0.02452 0.06088 -0.403 0.7141
cpi -3.91888 1.50198 -2.609 0.0797 .
cpi_unexp 1.84066 1.28170 1.436 0.2465
jobs -8.21732 4.40158 -1.867 0.1587
jobs_unexp -6.33165 2.97090 -2.131 0.1229
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.008473 on 3 degrees of freedom
Multiple R-Squared: 0.9892, Adjusted R-squared: 0.8879
F-statistic: 9.771 on 28 and 3 DF, p-value: 0.042
Covariance matrix of residuals:
loans capital
loans 6.547e-03 5.567e-05
capital 5.567e-05 7.179e-05
Correlation matrix of residuals:
loans capital
loans 1.00000 0.08119
capital 0.08119 1.00000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 56
Log Likelihood: 294.106
Roots of the characteristic polynomial:
0.9466 0.9466 0.9461 0.9461 0.9402 0.9402 0.9352 0.9352 0.9041 0.9041 0.9011 0.9011 0.9006 0.9006 0.8981 0.6187 0.6187 0.5036
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.243025 0.183366 1.325 0.1954
capital.l1 0.067399 0.112311 0.600 0.5531
loans.l2 0.245555 0.185671 1.323 0.1963
capital.l2 -0.190779 0.097586 -1.955 0.0603 .
loans.l3 -0.208662 0.209258 -0.997 0.3269
capital.l3 0.050742 0.111440 0.455 0.6523
loans.l4 0.083623 0.194691 0.430 0.6707
capital.l4 -0.056570 0.104659 -0.541 0.5930
loans.l5 -0.238788 0.203103 -1.176 0.2493
capital.l5 -0.229213 0.111632 -2.053 0.0492 *
loans.l6 -0.225588 0.179584 -1.256 0.2191
capital.l6 -0.067257 0.116473 -0.577 0.5681
loans.l7 0.372766 0.169589 2.198 0.0361 *
capital.l7 0.024918 0.108748 0.229 0.8204
loans.l8 0.181206 0.197755 0.916 0.3671
capital.l8 -0.146986 0.126955 -1.158 0.2564
loans.l9 -0.180656 0.187126 -0.965 0.3423
capital.l9 0.111348 0.117194 0.950 0.3499
const 0.026927 0.021123 1.275 0.2125
ten_two -0.005980 0.004673 -1.280 0.2108
ten_two_unexp 0.014697 0.019598 0.750 0.4593
ten -0.030029 0.071787 -0.418 0.6788
ten_unexp 0.015156 0.077179 0.196 0.8457
cpi 2.386459 1.191097 2.004 0.0545 .
cpi_unexp -2.282961 1.245844 -1.832 0.0772 .
jobs -1.263355 1.281795 -0.986 0.3325
jobs_unexp 2.059702 2.207507 0.933 0.3585
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.02128 on 29 degrees of freedom
Multiple R-Squared: 0.5425, Adjusted R-squared: 0.1323
F-statistic: 1.323 on 26 and 29 DF, p-value: 0.2318
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.520913 0.259027 -2.011 0.05370 .
capital.l1 -0.198893 0.158653 -1.254 0.21999
loans.l2 0.253346 0.262283 0.966 0.34207
capital.l2 -0.287768 0.137852 -2.088 0.04574 *
loans.l3 0.798769 0.295602 2.702 0.01139 *
capital.l3 -0.375578 0.157423 -2.386 0.02379 *
loans.l4 0.426213 0.275024 1.550 0.13205
capital.l4 -0.266065 0.147843 -1.800 0.08233 .
loans.l5 0.064669 0.286907 0.225 0.82325
capital.l5 -0.107000 0.157694 -0.679 0.50282
loans.l6 0.003827 0.253684 0.015 0.98807
capital.l6 -0.137852 0.164532 -0.838 0.40897
loans.l7 -0.131247 0.239565 -0.548 0.58798
capital.l7 -0.135954 0.153619 -0.885 0.38343
loans.l8 0.325168 0.279353 1.164 0.25391
capital.l8 -0.391143 0.179339 -2.181 0.03744 *
loans.l9 0.783319 0.264338 2.963 0.00602 **
capital.l9 -0.162861 0.165550 -0.984 0.33337
const 0.042679 0.029838 1.430 0.16331
ten_two -0.013312 0.006601 -2.017 0.05306 .
ten_two_unexp 0.029383 0.027685 1.061 0.29730
ten 0.045561 0.101408 0.449 0.65657
ten_unexp -0.042117 0.109025 -0.386 0.70209
cpi -2.792349 1.682568 -1.660 0.10778
cpi_unexp -2.138135 1.759905 -1.215 0.23420
jobs 1.692368 1.810691 0.935 0.35768
jobs_unexp -0.039047 3.118371 -0.013 0.99010
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.03007 on 29 degrees of freedom
Multiple R-Squared: 0.6436, Adjusted R-squared: 0.324
F-statistic: 2.014 on 26 and 29 DF, p-value: 0.03462
Covariance matrix of residuals:
loans capital
loans 0.0004530 0.0002426
capital 0.0002426 0.0009040
Correlation matrix of residuals:
loans capital
loans 1.0000 0.3791
capital 0.3791 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 60
Log Likelihood: 209.773
Roots of the characteristic polynomial:
0.8717 0.8717 0.8413 0.8413 0.8304 0.8304 0.7476 0.6749 0.6749 0.5493
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.250893 0.161948 1.549 0.129014
capital.l1 -0.090083 0.108626 -0.829 0.411740
loans.l2 -0.057995 0.135930 -0.427 0.671867
capital.l2 -0.084416 0.105303 -0.802 0.427379
loans.l3 0.319387 0.182289 1.752 0.087236 .
capital.l3 -0.085697 0.167587 -0.511 0.611844
loans.l4 -0.107179 0.191414 -0.560 0.578571
capital.l4 0.229668 0.163554 1.404 0.167780
loans.l5 0.103592 0.185167 0.559 0.578897
capital.l5 -0.060343 0.171813 -0.351 0.727226
const -0.036605 0.023038 -1.589 0.119766
ten_two 0.002060 0.008616 0.239 0.812205
ten_two_unexp 0.147394 0.038437 3.835 0.000425 ***
ten -0.091342 0.149698 -0.610 0.545115
ten_unexp -0.088456 0.161640 -0.547 0.587177
cpi 4.049513 2.403184 1.685 0.099575 .
cpi_unexp -0.352271 2.390908 -0.147 0.883588
jobs 0.448351 2.871872 0.156 0.876706
jobs_unexp -2.139901 4.704495 -0.455 0.651607
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.04707 on 41 degrees of freedom
Multiple R-Squared: 0.4441, Adjusted R-squared: 0.2
F-statistic: 1.82 on 18 and 41 DF, p-value: 0.05649
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.313946 0.195302 1.607 0.115622
capital.l1 0.103631 0.130997 0.791 0.433441
loans.l2 -0.126475 0.163925 -0.772 0.444810
capital.l2 -0.008021 0.126990 -0.063 0.949944
loans.l3 0.289993 0.219832 1.319 0.194436
capital.l3 0.008164 0.202102 0.040 0.967974
loans.l4 0.322748 0.230835 1.398 0.169579
capital.l4 -0.046894 0.197238 -0.238 0.813258
loans.l5 0.741263 0.223303 3.320 0.001900 **
capital.l5 0.237825 0.207198 1.148 0.257699
const -0.009529 0.027783 -0.343 0.733376
ten_two -0.011802 0.010390 -1.136 0.262613
ten_two_unexp 0.181847 0.046354 3.923 0.000326 ***
ten 0.223729 0.180528 1.239 0.222282
ten_unexp -0.655823 0.194929 -3.364 0.001674 **
cpi 0.398778 2.898121 0.138 0.891231
cpi_unexp 0.913939 2.883317 0.317 0.752871
jobs 3.931400 3.463336 1.135 0.262906
jobs_unexp 2.670217 5.673388 0.471 0.640380
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.05676 on 41 degrees of freedom
Multiple R-Squared: 0.5554, Adjusted R-squared: 0.3603
F-statistic: 2.846 on 18 and 41 DF, p-value: 0.002791
Covariance matrix of residuals:
loans capital
loans 0.0022156 0.0006275
capital 0.0006275 0.0032222
Correlation matrix of residuals:
loans capital
loans 1.0000 0.2348
capital 0.2348 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 62
Log Likelihood: 210.651
Roots of the characteristic polynomial:
0.6157 0.6157 0.3992 0.3992 0.3601 0.3601
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.41559 0.15024 -2.766 0.008080 **
capital.l1 1.26103 0.51395 2.454 0.017905 *
loans.l2 -0.40035 0.16179 -2.475 0.017007 *
capital.l2 0.57490 0.52651 1.092 0.280440
loans.l3 -0.57791 0.15669 -3.688 0.000585 ***
capital.l3 2.42858 0.55761 4.355 7.15e-05 ***
const 0.05572 0.04733 1.177 0.245027
ten_two -0.07154 0.01992 -3.592 0.000783 ***
ten_two_unexp -0.06858 0.06156 -1.114 0.270982
ten -0.05114 0.28163 -0.182 0.856696
ten_unexp 0.19592 0.31218 0.628 0.533305
cpi 4.05310 3.62813 1.117 0.269617
cpi_unexp -3.11852 3.43164 -0.909 0.368116
jobs -4.41324 3.92367 -1.125 0.266397
jobs_unexp 10.09879 8.51262 1.186 0.241454
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.09542 on 47 degrees of freedom
Multiple R-Squared: 0.4582, Adjusted R-squared: 0.2968
F-statistic: 2.839 on 14 and 47 DF, p-value: 0.003755
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.0535755 0.0490740 -1.092 0.2805
capital.l1 0.0009422 0.1678795 0.006 0.9955
loans.l2 -0.0560099 0.0528479 -1.060 0.2946
capital.l2 -0.0144442 0.1719836 -0.084 0.9334
loans.l3 -0.1011415 0.0511818 -1.976 0.0540 .
capital.l3 0.4114764 0.1821421 2.259 0.0286 *
const 0.0306767 0.0154610 1.984 0.0531 .
ten_two -0.0107245 0.0065057 -1.648 0.1059
ten_two_unexp -0.0218082 0.0201093 -1.084 0.2837
ten 0.0552188 0.0919924 0.600 0.5512
ten_unexp 0.0013049 0.1019719 0.013 0.9898
cpi 1.8387785 1.1851208 1.552 0.1275
cpi_unexp -1.3660786 1.1209371 -1.219 0.2290
jobs -0.8659387 1.2816568 -0.676 0.5026
jobs_unexp 1.7172024 2.7806270 0.618 0.5398
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.03117 on 47 degrees of freedom
Multiple R-Squared: 0.2309, Adjusted R-squared: 0.001842
F-statistic: 1.008 on 14 and 47 DF, p-value: 0.4615
Covariance matrix of residuals:
loans capital
loans 0.009106 0.0014734
capital 0.001473 0.0009716
Correlation matrix of residuals:
loans capital
loans 1.0000 0.4954
capital 0.4954 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 55
Log Likelihood: 337.655
Roots of the characteristic polynomial:
0.9685 0.9685 0.9029 0.9029 0.9017 0.9017 0.8632 0.8632 0.8617 0.8617 0.859 0.859 0.8569 0.8569 0.8404 0.8404 0.7642 0.6726 0.6726 0.5871
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.149249 0.187289 0.797 0.4327
capital.l1 0.103733 0.289781 0.358 0.7233
loans.l2 0.106514 0.219052 0.486 0.6309
capital.l2 0.158673 0.206790 0.767 0.4498
loans.l3 -0.012833 0.181201 -0.071 0.9441
capital.l3 -0.276369 0.201279 -1.373 0.1815
loans.l4 -0.011871 0.187391 -0.063 0.9500
capital.l4 -0.053594 0.194436 -0.276 0.7850
loans.l5 -0.127747 0.201198 -0.635 0.5310
capital.l5 0.309031 0.189902 1.627 0.1157
loans.l6 0.103298 0.176015 0.587 0.5624
capital.l6 -0.201034 0.203467 -0.988 0.3322
loans.l7 0.012770 0.170936 0.075 0.9410
capital.l7 -0.027296 0.223148 -0.122 0.9036
loans.l8 0.020548 0.181967 0.113 0.9110
capital.l8 0.117561 0.216489 0.543 0.5917
loans.l9 0.136987 0.149293 0.918 0.3673
capital.l9 -0.003902 0.224102 -0.017 0.9862
loans.l10 -0.128467 0.207739 -0.618 0.5417
capital.l10 0.004162 0.201864 0.021 0.9837
const 0.018447 0.016454 1.121 0.2725
ten_two -0.008088 0.006354 -1.273 0.2143
ten_two_unexp -0.042989 0.019134 -2.247 0.0334 *
ten 0.052947 0.083738 0.632 0.5327
ten_unexp 0.038204 0.096482 0.396 0.6954
cpi -0.015556 1.190197 -0.013 0.9897
cpi_unexp -0.311394 1.145613 -0.272 0.7879
jobs -0.852725 1.309409 -0.651 0.5206
jobs_unexp 2.512510 2.858099 0.879 0.3874
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.0221 on 26 degrees of freedom
Multiple R-Squared: 0.5973, Adjusted R-squared: 0.1636
F-statistic: 1.377 on 28 and 26 DF, p-value: 0.2074
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.288618 0.102494 2.816 0.009156 **
capital.l1 -0.214130 0.158583 -1.350 0.188566
loans.l2 -0.078012 0.119877 -0.651 0.520907
capital.l2 -0.165933 0.113166 -1.466 0.154563
loans.l3 0.168791 0.099163 1.702 0.100654
capital.l3 -0.127079 0.110150 -1.154 0.259123
loans.l4 0.330677 0.102550 3.225 0.003390 **
capital.l4 -0.076387 0.106405 -0.718 0.479230
loans.l5 0.118394 0.110106 1.075 0.292130
capital.l5 -0.025835 0.103924 -0.249 0.805623
loans.l6 0.068309 0.096325 0.709 0.484543
capital.l6 -0.092472 0.111348 -0.830 0.413828
loans.l7 -0.224943 0.093545 -2.405 0.023605 *
capital.l7 0.039891 0.122118 0.327 0.746542
loans.l8 0.087262 0.099581 0.876 0.388897
capital.l8 -0.173086 0.118474 -1.461 0.156005
loans.l9 0.357694 0.081701 4.378 0.000173 ***
capital.l9 -0.005466 0.122640 -0.045 0.964789
loans.l10 0.159765 0.113685 1.405 0.171762
capital.l10 -0.213108 0.110470 -1.929 0.064702 .
const 0.018367 0.009004 2.040 0.051653 .
ten_two 0.009761 0.003477 2.807 0.009347 **
ten_two_unexp -0.027307 0.010471 -2.608 0.014899 *
ten -0.064138 0.045826 -1.400 0.173447
ten_unexp 0.124788 0.052800 2.363 0.025865 *
cpi -0.392474 0.651336 -0.603 0.552016
cpi_unexp -0.949765 0.626938 -1.515 0.141855
jobs 0.456723 0.716575 0.637 0.529458
jobs_unexp 0.991066 1.564098 0.634 0.531854
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.0121 on 26 degrees of freedom
Multiple R-Squared: 0.8196, Adjusted R-squared: 0.6253
F-statistic: 4.219 on 28 and 26 DF, p-value: 0.0002092
Covariance matrix of residuals:
loans capital
loans 4.885e-04 1.097e-05
capital 1.097e-05 1.463e-04
Correlation matrix of residuals:
loans capital
loans 1.00000 0.04104
capital 0.04104 1.00000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 55
Log Likelihood: 246.866
Roots of the characteristic polynomial:
0.9943 0.9943 0.966 0.966 0.944 0.944 0.934 0.934 0.9165 0.9165 0.9148 0.8723 0.8723 0.8495 0.8495 0.8062 0.8062 0.7774 0.7774 0.6404
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.331962 0.196999 -1.685 0.1039
capital.l1 0.181943 0.110664 1.644 0.1122
loans.l2 -0.249399 0.194356 -1.283 0.2107
capital.l2 0.159524 0.120663 1.322 0.1977
loans.l3 -0.072180 0.193527 -0.373 0.7122
capital.l3 0.243282 0.132967 1.830 0.0788 .
loans.l4 -0.089465 0.198796 -0.450 0.6564
capital.l4 0.231496 0.114383 2.024 0.0534 .
loans.l5 0.029632 0.199658 0.148 0.8832
capital.l5 0.121755 0.131775 0.924 0.3640
loans.l6 0.152291 0.204947 0.743 0.4641
capital.l6 0.113821 0.136819 0.832 0.4130
loans.l7 0.172030 0.205197 0.838 0.4095
capital.l7 0.176699 0.138041 1.280 0.2118
loans.l8 0.083106 0.215231 0.386 0.7025
capital.l8 0.198328 0.143435 1.383 0.1785
loans.l9 0.070444 0.252506 0.279 0.7825
capital.l9 0.184439 0.136245 1.354 0.1875
loans.l10 -0.058427 0.196270 -0.298 0.7683
capital.l10 0.193851 0.120850 1.604 0.1208
const -0.008468 0.019897 -0.426 0.6739
ten_two -0.009136 0.011663 -0.783 0.4405
ten_two_unexp -0.021735 0.027341 -0.795 0.4338
ten 0.137749 0.170177 0.809 0.4256
ten_unexp -0.067856 0.189692 -0.358 0.7234
cpi -0.403191 1.740299 -0.232 0.8186
cpi_unexp -0.632335 1.547733 -0.409 0.6862
jobs 3.997317 2.301814 1.737 0.0943 .
jobs_unexp -3.471382 3.777035 -0.919 0.3665
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.0343 on 26 degrees of freedom
Multiple R-Squared: 0.6747, Adjusted R-squared: 0.3243
F-statistic: 1.926 on 28 and 26 DF, p-value: 0.04849
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.222001 0.252781 -0.878 0.387860
capital.l1 -0.210892 0.142000 -1.485 0.149527
loans.l2 0.432691 0.249390 1.735 0.094582 .
capital.l2 -0.168931 0.154830 -1.091 0.285248
loans.l3 0.023011 0.248326 0.093 0.926881
capital.l3 0.350852 0.170618 2.056 0.049914 *
loans.l4 0.060540 0.255087 0.237 0.814260
capital.l4 0.313757 0.146772 2.138 0.042110 *
loans.l5 -0.321399 0.256193 -1.255 0.220814
capital.l5 0.283990 0.169089 1.680 0.105027
loans.l6 0.326426 0.262980 1.241 0.225593
capital.l6 0.132807 0.175560 0.756 0.456165
loans.l7 0.788345 0.263301 2.994 0.005971 **
capital.l7 -0.214041 0.177129 -1.208 0.237775
loans.l8 -0.285429 0.276176 -1.034 0.310886
capital.l8 -0.171172 0.184050 -0.930 0.360912
loans.l9 0.171283 0.324006 0.529 0.601537
capital.l9 -0.657368 0.174825 -3.760 0.000871 ***
loans.l10 -0.319601 0.251847 -1.269 0.215673
capital.l10 -0.242053 0.155070 -1.561 0.130630
const 0.025137 0.025531 0.985 0.333918
ten_two -0.007098 0.014965 -0.474 0.639229
ten_two_unexp -0.057046 0.035083 -1.626 0.116003
ten 0.432020 0.218364 1.978 0.058565 .
ten_unexp -0.415942 0.243405 -1.709 0.099392 .
cpi -5.281929 2.233085 -2.365 0.025757 *
cpi_unexp 5.843321 1.985992 2.942 0.006768 **
jobs 7.240726 2.953599 2.451 0.021259 *
jobs_unexp -17.731699 4.846546 -3.659 0.001131 **
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.04401 on 26 degrees of freedom
Multiple R-Squared: 0.773, Adjusted R-squared: 0.5286
F-statistic: 3.162 on 28 and 26 DF, p-value: 0.002101
Covariance matrix of residuals:
loans capital
loans 0.0011764 0.0005844
capital 0.0005844 0.0019370
Correlation matrix of residuals:
loans capital
loans 1.0000 0.3871
capital 0.3871 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 64
Log Likelihood: 240.608
Roots of the characteristic polynomial:
0.6603 0.05666
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.509728 0.115926 4.397 5.32e-05 ***
capital.l1 0.126236 0.072869 1.732 0.089 .
const 0.002505 0.012593 0.199 0.843
ten_two -0.003105 0.005315 -0.584 0.562
ten_two_unexp -0.004311 0.018530 -0.233 0.817
ten 0.123344 0.087513 1.409 0.165
ten_unexp -0.082069 0.093784 -0.875 0.385
cpi -0.611148 1.125198 -0.543 0.589
cpi_unexp 0.958471 1.037665 0.924 0.360
jobs 1.105922 1.225623 0.902 0.371
jobs_unexp -3.881052 2.473456 -1.569 0.123
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.02962 on 53 degrees of freedom
Multiple R-Squared: 0.5165, Adjusted R-squared: 0.4252
F-statistic: 5.661 on 10 and 53 DF, p-value: 1.043e-05
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.540286 0.220636 2.449 0.01768 *
capital.l1 0.207199 0.138688 1.494 0.14111
const -0.016986 0.023967 -0.709 0.48161
ten_two 0.005484 0.010116 0.542 0.59005
ten_two_unexp -0.024588 0.035267 -0.697 0.48872
ten 0.225663 0.166559 1.355 0.18121
ten_unexp -0.194214 0.178496 -1.088 0.28149
cpi -0.893600 2.141537 -0.417 0.67817
cpi_unexp 3.348369 1.974941 1.695 0.09586 .
jobs 6.671164 2.332671 2.860 0.00605 **
jobs_unexp -9.406445 4.707615 -1.998 0.05084 .
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.05637 on 53 degrees of freedom
Multiple R-Squared: 0.4305, Adjusted R-squared: 0.323
F-statistic: 4.006 on 10 and 53 DF, p-value: 0.0004094
Covariance matrix of residuals:
loans capital
loans 0.0008774 0.000275
capital 0.0002750 0.003178
Correlation matrix of residuals:
loans capital
loans 1.0000 0.1647
capital 0.1647 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 57
Log Likelihood: 229.259
Roots of the characteristic polynomial:
0.9833 0.9527 0.9527 0.9327 0.9327 0.8897 0.8897 0.8856 0.8856 0.8837 0.8837 0.8464 0.8464 0.8299 0.8299 0.5138
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.37190 0.15659 2.375 0.02371 *
capital.l1 -0.11576 0.18285 -0.633 0.53115
loans.l2 0.00481 0.17503 0.027 0.97825
capital.l2 0.01954 0.18125 0.108 0.91482
loans.l3 -0.05666 0.17153 -0.330 0.74329
capital.l3 0.07601 0.17297 0.439 0.66331
loans.l4 0.46515 0.19688 2.363 0.02439 *
capital.l4 0.01199 0.22146 0.054 0.95716
loans.l5 -0.15385 0.19251 -0.799 0.43010
capital.l5 0.61502 0.19470 3.159 0.00345 **
loans.l6 0.11305 0.18059 0.626 0.53577
capital.l6 -0.01660 0.17936 -0.093 0.92685
loans.l7 0.16864 0.17977 0.938 0.35523
capital.l7 0.46633 0.21866 2.133 0.04072 *
loans.l8 -0.34419 0.16791 -2.050 0.04865 *
capital.l8 0.07290 0.21526 0.339 0.73707
const -0.05986 0.02433 -2.460 0.01947 *
ten_two 0.01291 0.00906 1.425 0.16371
ten_two_unexp 0.03285 0.04188 0.784 0.43862
ten -0.27711 0.19790 -1.400 0.17106
ten_unexp 0.05375 0.22040 0.244 0.80888
cpi 2.58208 2.68867 0.960 0.34408
cpi_unexp -0.59784 2.02211 -0.296 0.76941
jobs 2.59050 2.42747 1.067 0.29389
jobs_unexp -5.87174 4.68290 -1.254 0.21897
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.04631 on 32 degrees of freedom
Multiple R-Squared: 0.6019, Adjusted R-squared: 0.3034
F-statistic: 2.016 on 24 and 32 DF, p-value: 0.03216
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.120818 0.136675 0.884 0.38330
capital.l1 -0.116264 0.159588 -0.729 0.47159
loans.l2 -0.027851 0.152767 -0.182 0.85649
capital.l2 -0.230042 0.158199 -1.454 0.15565
loans.l3 0.463940 0.149708 3.099 0.00403 **
capital.l3 -0.034581 0.150963 -0.229 0.82027
loans.l4 0.041220 0.171839 0.240 0.81196
capital.l4 -0.055252 0.193293 -0.286 0.77684
loans.l5 -0.277912 0.168026 -1.654 0.10791
capital.l5 0.018729 0.169935 0.110 0.91293
loans.l6 0.162256 0.157621 1.029 0.31101
capital.l6 -0.282168 0.156542 -1.803 0.08089 .
loans.l7 -0.040956 0.156904 -0.261 0.79574
capital.l7 0.071979 0.190848 0.377 0.70855
loans.l8 0.201732 0.146553 1.377 0.17822
capital.l8 -0.319916 0.187876 -1.703 0.09830 .
const 0.050583 0.021237 2.382 0.02334 *
ten_two -0.018081 0.007908 -2.286 0.02899 *
ten_two_unexp 0.071902 0.036555 1.967 0.05791 .
ten -0.013294 0.172726 -0.077 0.93913
ten_unexp -0.113776 0.192367 -0.591 0.55837
cpi -1.758707 2.346661 -0.749 0.45906
cpi_unexp 1.689702 1.764887 0.957 0.34554
jobs 1.159423 2.118692 0.547 0.58801
jobs_unexp -0.801338 4.087222 -0.196 0.84580
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.04042 on 32 degrees of freedom
Multiple R-Squared: 0.4689, Adjusted R-squared: 0.07059
F-statistic: 1.177 on 24 and 32 DF, p-value: 0.3288
Covariance matrix of residuals:
loans capital
loans 0.0021443 0.0001082
capital 0.0001082 0.0016335
Correlation matrix of residuals:
loans capital
loans 1.00000 0.05781
capital 0.05781 1.00000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 20
Log Likelihood: 15.875
Roots of the characteristic polynomial:
1.216 0.4962
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 1.201e+00 1.562e+00 0.769 0.462
capital.l1 -7.686e-04 2.314e-02 -0.033 0.974
const 1.770e-01 1.708e-01 1.036 0.327
ten_two -3.148e-02 4.923e-02 -0.639 0.538
ten_two_unexp 1.113e-01 1.889e-01 0.589 0.570
ten -3.956e-01 4.462e-01 -0.887 0.398
ten_unexp 2.289e-01 4.182e-01 0.547 0.597
cpi 3.038e+00 1.141e+01 0.266 0.796
cpi_unexp -1.132e+01 1.082e+01 -1.046 0.323
jobs -3.036e+01 3.686e+01 -0.824 0.431
jobs_unexp 1.681e+01 3.124e+01 0.538 0.604
Residual standard error: 0.06457 on 9 degrees of freedom
Multiple R-Squared: 0.3936, Adjusted R-squared: -0.2801
F-statistic: 0.5842 on 10 and 9 DF, p-value: 0.7928
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -33.1787 22.0793 -1.503 0.167
capital.l1 -0.4812 0.3270 -1.472 0.175
const 0.2049 2.4134 0.085 0.934
ten_two -0.6865 0.6957 -0.987 0.350
ten_two_unexp 3.1742 2.6694 1.189 0.265
ten -5.3747 6.3056 -0.852 0.416
ten_unexp -0.6227 5.9101 -0.105 0.918
cpi 117.1382 161.2037 0.727 0.486
cpi_unexp 14.1779 152.9348 0.093 0.928
jobs -3.3934 520.8963 -0.007 0.995
jobs_unexp 541.3290 441.5177 1.226 0.251
Residual standard error: 0.9126 on 9 degrees of freedom
Multiple R-Squared: 0.58, Adjusted R-squared: 0.1133
F-statistic: 1.243 on 10 and 9 DF, p-value: 0.377
Covariance matrix of residuals:
loans capital
loans 0.004169 -0.003381
capital -0.003381 0.832812
Correlation matrix of residuals:
loans capital
loans 1.00000 -0.05738
capital -0.05738 1.00000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 57
Log Likelihood: 275.278
Roots of the characteristic polynomial:
0.9674 0.9674 0.923 0.9074 0.9074 0.896 0.896 0.8655 0.8655 0.8108 0.7486 0.7486 0.7332 0.7041 0.7041 0.1598
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.044536 0.146397 0.304 0.76293
capital.l1 0.016840 0.081876 0.206 0.83835
loans.l2 -0.097600 0.140015 -0.697 0.49079
capital.l2 0.245502 0.079555 3.086 0.00417 **
loans.l3 0.141965 0.135800 1.045 0.30367
capital.l3 0.022272 0.074512 0.299 0.76695
loans.l4 0.224373 0.142943 1.570 0.12633
capital.l4 0.153883 0.072900 2.111 0.04269 *
loans.l5 -0.112902 0.147907 -0.763 0.45086
capital.l5 0.227450 0.079582 2.858 0.00744 **
loans.l6 -0.037950 0.139385 -0.272 0.78717
capital.l6 -0.007851 0.079780 -0.098 0.92222
loans.l7 0.185886 0.124287 1.496 0.14455
capital.l7 0.121575 0.083478 1.456 0.15503
loans.l8 -0.029254 0.122898 -0.238 0.81337
capital.l8 0.007423 0.082471 0.090 0.92884
const -0.021165 0.012875 -1.644 0.10999
ten_two 0.012186 0.005061 2.408 0.02197 *
ten_two_unexp -0.025514 0.017010 -1.500 0.14343
ten -0.198112 0.087334 -2.268 0.03019 *
ten_unexp 0.253700 0.092724 2.736 0.01006 *
cpi 1.697068 1.010171 1.680 0.10270
cpi_unexp -0.996537 0.885380 -1.126 0.26873
jobs -2.608630 1.145921 -2.276 0.02965 *
jobs_unexp 5.422658 2.315311 2.342 0.02556 *
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.02183 on 32 degrees of freedom
Multiple R-Squared: 0.6952, Adjusted R-squared: 0.4666
F-statistic: 3.041 on 24 and 32 DF, p-value: 0.001819
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.119427 0.279155 0.428 0.6717
capital.l1 0.097389 0.156124 0.624 0.5372
loans.l2 -0.274825 0.266987 -1.029 0.3110
capital.l2 0.145396 0.151698 0.958 0.3450
loans.l3 0.119244 0.258949 0.460 0.6483
capital.l3 0.041221 0.142083 0.290 0.7736
loans.l4 -0.020141 0.272570 -0.074 0.9416
capital.l4 0.128220 0.139008 0.922 0.3632
loans.l5 -0.314940 0.282034 -1.117 0.2725
capital.l5 -0.152972 0.151750 -1.008 0.3210
loans.l6 0.324218 0.265785 1.220 0.2314
capital.l6 -0.242220 0.152128 -1.592 0.1212
loans.l7 0.054933 0.236995 0.232 0.8182
capital.l7 0.177995 0.159180 1.118 0.2718
loans.l8 -0.028097 0.234346 -0.120 0.9053
capital.l8 0.392850 0.157258 2.498 0.0178 *
const -0.005624 0.024550 -0.229 0.8203
ten_two 0.002984 0.009650 0.309 0.7591
ten_two_unexp -0.053316 0.032436 -1.644 0.1100
ten -0.196859 0.166533 -1.182 0.2459
ten_unexp 0.089756 0.176809 0.508 0.6152
cpi -2.725050 1.926236 -1.415 0.1668
cpi_unexp 3.030200 1.688278 1.795 0.0821 .
jobs 5.531404 2.185089 2.531 0.0165 *
jobs_unexp -8.809056 4.414930 -1.995 0.0546 .
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.04162 on 32 degrees of freedom
Multiple R-Squared: 0.5481, Adjusted R-squared: 0.2092
F-statistic: 1.617 on 24 and 32 DF, p-value: 0.1013
Covariance matrix of residuals:
loans capital
loans 0.0004765 0.000362
capital 0.0003620 0.001733
Correlation matrix of residuals:
loans capital
loans 1.0000 0.3984
capital 0.3984 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 64
Log Likelihood: 138.867
Roots of the characteristic polynomial:
0.149 0.149
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.09595 0.21053 0.456 0.650
capital.l1 -0.19101 0.18157 -1.052 0.298
const -0.06643 0.04192 -1.585 0.119
ten_two 0.02028 0.01773 1.144 0.258
ten_two_unexp 0.10871 0.06607 1.645 0.106
ten 0.09031 0.30461 0.296 0.768
ten_unexp -0.10457 0.33113 -0.316 0.753
cpi 5.69584 4.05211 1.406 0.166
cpi_unexp -3.58745 3.58707 -1.000 0.322
jobs 1.83287 4.29945 0.426 0.672
jobs_unexp -9.84461 8.73825 -1.127 0.265
Residual standard error: 0.1047 on 53 degrees of freedom
Multiple R-Squared: 0.1764, Adjusted R-squared: 0.02097
F-statistic: 1.135 on 10 and 53 DF, p-value: 0.3549
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.22244 0.23282 0.955 0.3437
capital.l1 -0.21138 0.20079 -1.053 0.2972
const -0.06462 0.04636 -1.394 0.1691
ten_two 0.03134 0.01961 1.598 0.1160
ten_two_unexp 0.02374 0.07307 0.325 0.7466
ten 0.64652 0.33686 1.919 0.0603 .
ten_unexp -0.40664 0.36618 -1.110 0.2718
cpi 2.54346 4.48106 0.568 0.5727
cpi_unexp -2.05449 3.96680 -0.518 0.6067
jobs 8.92941 4.75459 1.878 0.0659 .
jobs_unexp -19.05585 9.66328 -1.972 0.0538 .
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.1157 on 53 degrees of freedom
Multiple R-Squared: 0.2112, Adjusted R-squared: 0.06243
F-statistic: 1.419 on 10 and 53 DF, p-value: 0.1975
Covariance matrix of residuals:
loans capital
loans 0.010954 0.009031
capital 0.009031 0.013396
Correlation matrix of residuals:
loans capital
loans 1.0000 0.7455
capital 0.7455 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 62
Log Likelihood: 4.28
Roots of the characteristic polynomial:
0.6599 0.6599 0.6278 0.6278 0.6058 0.6058
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.336972 0.130133 2.589 0.01276 *
capital.l1 0.001066 0.004436 0.240 0.81106
loans.l2 0.065608 0.131861 0.498 0.62112
capital.l2 -0.008413 0.004607 -1.826 0.07415 .
loans.l3 0.022733 0.125397 0.181 0.85692
capital.l3 0.013219 0.004594 2.877 0.00601 **
const 0.045090 0.020214 2.231 0.03052 *
ten_two -0.018474 0.008322 -2.220 0.03128 *
ten_two_unexp -0.005908 0.031199 -0.189 0.85061
ten 0.114935 0.142670 0.806 0.42453
ten_unexp -0.137862 0.154458 -0.893 0.37664
cpi 1.062442 1.849390 0.574 0.56838
cpi_unexp -0.171946 1.661533 -0.103 0.91802
jobs -4.100027 2.053269 -1.997 0.05165 .
jobs_unexp 6.013664 4.061030 1.481 0.14533
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.04722 on 47 degrees of freedom
Multiple R-Squared: 0.4281, Adjusted R-squared: 0.2578
F-statistic: 2.513 on 14 and 47 DF, p-value: 0.009284
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -5.0237 4.2064 -1.194 0.238
capital.l1 -0.1325 0.1434 -0.924 0.360
loans.l2 0.7660 4.2623 0.180 0.858
capital.l2 -0.1346 0.1489 -0.904 0.371
loans.l3 -4.9483 4.0534 -1.221 0.228
capital.l3 -0.1065 0.1485 -0.717 0.477
const 0.7972 0.6534 1.220 0.229
ten_two -0.1929 0.2690 -0.717 0.477
ten_two_unexp 0.8925 1.0085 0.885 0.381
ten -2.2388 4.6117 -0.485 0.630
ten_unexp 0.9576 4.9927 0.192 0.849
cpi -31.7148 59.7797 -0.531 0.598
cpi_unexp 30.9516 53.7074 0.576 0.567
jobs 4.2047 66.3699 0.063 0.950
jobs_unexp 13.1175 131.2688 0.100 0.921
Residual standard error: 1.526 on 47 degrees of freedom
Multiple R-Squared: 0.1168, Adjusted R-squared: -0.1463
F-statistic: 0.4441 on 14 and 47 DF, p-value: 0.9504
Covariance matrix of residuals:
loans capital
loans 0.0022301 0.0004952
capital 0.0004952 2.3301090
Correlation matrix of residuals:
loans capital
loans 1.00000 0.00687
capital 0.00687 1.00000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 33
Log Likelihood: 158.682
Roots of the characteristic polynomial:
1.232 1.148 1.094 1.094 1.04 1.04 1.031 1.031 1.007 1.007 1 1 0.9709 0.9232 0.9232 0.9047 0.9047 0.7203 0.7203 0.3676
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.85638 0.40398 2.120 0.1014
capital.l1 -0.06736 0.07850 -0.858 0.4392
loans.l2 -0.09316 0.34243 -0.272 0.7990
capital.l2 -0.05169 0.11033 -0.468 0.6638
loans.l3 -0.42616 0.33345 -1.278 0.2704
capital.l3 0.20857 0.14150 1.474 0.2145
loans.l4 0.30771 0.34210 0.899 0.4193
capital.l4 -0.03270 0.12598 -0.260 0.8080
loans.l5 0.10414 0.18656 0.558 0.6065
capital.l5 -0.09154 0.11436 -0.800 0.4683
loans.l6 1.19208 0.50153 2.377 0.0762 .
capital.l6 0.07267 0.09982 0.728 0.5069
loans.l7 -0.02527 0.19879 -0.127 0.9050
capital.l7 0.15704 0.12136 1.294 0.2653
loans.l8 0.19379 0.17256 1.123 0.3243
capital.l8 -0.06155 0.08866 -0.694 0.5257
loans.l9 0.14849 0.19346 0.768 0.4856
capital.l9 0.22368 0.16636 1.345 0.2500
loans.l10 0.45114 0.22877 1.972 0.1199
capital.l10 -0.30269 0.16444 -1.841 0.1395
const -0.34687 0.26999 -1.285 0.2682
ten_two -0.05159 0.03534 -1.460 0.2182
ten_two_unexp 0.61629 0.27181 2.267 0.0860 .
ten 0.15744 0.34732 0.453 0.6738
ten_unexp -1.28600 0.64916 -1.981 0.1187
cpi -5.58628 8.87938 -0.629 0.5634
cpi_unexp 6.17710 4.95160 1.247 0.2803
jobs 75.28707 36.15230 2.082 0.1057
jobs_unexp -37.51392 23.95551 -1.566 0.1924
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.04932 on 4 degrees of freedom
Multiple R-Squared: 0.909, Adjusted R-squared: 0.2721
F-statistic: 1.427 on 28 and 4 DF, p-value: 0.4019
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + loans.l8 + capital.l8 + loans.l9 + capital.l9 + loans.l10 + capital.l10 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.41992 1.25641 0.334 0.7550
capital.l1 -0.42354 0.24413 -1.735 0.1578
loans.l2 -1.23564 1.06499 -1.160 0.3105
capital.l2 -0.48105 0.34315 -1.402 0.2336
loans.l3 0.80368 1.03705 0.775 0.4816
capital.l3 0.01074 0.44007 0.024 0.9817
loans.l4 -1.69734 1.06396 -1.595 0.1859
capital.l4 -0.11819 0.39180 -0.302 0.7779
loans.l5 -0.42894 0.58020 -0.739 0.5008
capital.l5 0.43604 0.35567 1.226 0.2875
loans.l6 -3.28811 1.55980 -2.108 0.1027
capital.l6 -0.56471 0.31044 -1.819 0.1430
loans.l7 0.21919 0.61825 0.355 0.7408
capital.l7 0.33253 0.37743 0.881 0.4281
loans.l8 0.32799 0.53667 0.611 0.5741
capital.l8 0.26490 0.27574 0.961 0.3911
loans.l9 -0.60159 0.60167 -1.000 0.3740
capital.l9 0.49904 0.51739 0.965 0.3894
loans.l10 -1.57138 0.71149 -2.209 0.0918 .
capital.l10 0.48985 0.51142 0.958 0.3924
const 1.63989 0.83969 1.953 0.1225
ten_two -0.20106 0.10992 -1.829 0.1414
ten_two_unexp 0.49348 0.84536 0.584 0.5907
ten -1.72730 1.08018 -1.599 0.1850
ten_unexp 1.34307 2.01892 0.665 0.5423
cpi 18.83738 27.61542 0.682 0.5326
cpi_unexp -10.34382 15.39977 -0.672 0.5386
jobs -246.79731 112.43585 -2.195 0.0932 .
jobs_unexp 113.32565 74.50309 1.521 0.2029
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.1534 on 4 degrees of freedom
Multiple R-Squared: 0.8562, Adjusted R-squared: -0.1505
F-statistic: 0.8505 on 28 and 4 DF, p-value: 0.6572
Covariance matrix of residuals:
loans capital
loans 0.002432 -0.006456
capital -0.006456 0.023523
Correlation matrix of residuals:
loans capital
loans 1.0000 -0.8535
capital -0.8535 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 58
Log Likelihood: 121.006
Roots of the characteristic polynomial:
0.9032 0.9023 0.9023 0.8844 0.8844 0.867 0.867 0.8544 0.8544 0.7821 0.7821 0.7759 0.4115 0.2697
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.31263 0.25458 1.228 0.22763
capital.l1 -0.66509 0.41646 -1.597 0.11925
loans.l2 0.81289 0.26918 3.020 0.00470 **
capital.l2 -1.37850 0.40333 -3.418 0.00162 **
loans.l3 0.67613 0.19524 3.463 0.00143 **
capital.l3 -0.71872 0.31101 -2.311 0.02685 *
loans.l4 0.90100 0.19927 4.522 6.74e-05 ***
capital.l4 -0.98171 0.31430 -3.123 0.00358 **
loans.l5 0.24114 0.20915 1.153 0.25673
capital.l5 -0.28792 0.32146 -0.896 0.37655
loans.l6 0.33419 0.22341 1.496 0.14364
capital.l6 -0.36284 0.33542 -1.082 0.28677
loans.l7 -2.42592 0.22417 -10.822 1.03e-12 ***
capital.l7 4.01958 0.34348 11.702 1.19e-13 ***
const 0.11534 0.07367 1.566 0.12644
ten_two 0.04016 0.03322 1.209 0.23477
ten_two_unexp -0.10027 0.11274 -0.889 0.37985
ten -0.23298 0.52939 -0.440 0.66258
ten_unexp 0.13527 0.52244 0.259 0.79721
cpi -11.61927 8.33004 -1.395 0.17185
cpi_unexp 6.19097 7.59864 0.815 0.42073
jobs -26.43551 7.58249 -3.486 0.00134 **
jobs_unexp 26.53146 17.27445 1.536 0.13356
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.1443 on 35 degrees of freedom
Multiple R-Squared: 0.8839, Adjusted R-squared: 0.8109
F-statistic: 12.11 on 22 and 35 DF, p-value: 1.421e-10
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + loans.l5 + capital.l5 + loans.l6 + capital.l6 + loans.l7 + capital.l7 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.19540 0.18762 1.041 0.304803
capital.l1 -0.40119 0.30692 -1.307 0.199693
loans.l2 0.46224 0.19839 2.330 0.025697 *
capital.l2 -0.73821 0.29725 -2.483 0.017948 *
loans.l3 0.33833 0.14389 2.351 0.024462 *
capital.l3 -0.35681 0.22921 -1.557 0.128541
loans.l4 0.73092 0.14686 4.977 1.72e-05 ***
capital.l4 -0.86113 0.23164 -3.718 0.000701 ***
loans.l5 0.04289 0.15414 0.278 0.782476
capital.l5 -0.05276 0.23691 -0.223 0.825060
loans.l6 0.21671 0.16465 1.316 0.196658
capital.l6 -0.24901 0.24720 -1.007 0.320689
loans.l7 -1.54666 0.16521 -9.362 4.62e-11 ***
capital.l7 2.56956 0.25314 10.151 5.72e-12 ***
const 0.01077 0.05429 0.198 0.843880
ten_two 0.04706 0.02448 1.922 0.062745 .
ten_two_unexp -0.04025 0.08308 -0.484 0.631067
ten 0.02468 0.39015 0.063 0.949916
ten_unexp -0.16386 0.38503 -0.426 0.673031
cpi -2.01183 6.13912 -0.328 0.745086
cpi_unexp -0.10052 5.60009 -0.018 0.985781
jobs -13.74643 5.58819 -2.460 0.018980 *
jobs_unexp 11.38337 12.73101 0.894 0.377352
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.1064 on 35 degrees of freedom
Multiple R-Squared: 0.8521, Adjusted R-squared: 0.7591
F-statistic: 9.164 on 22 and 35 DF, p-value: 7.015e-09
Covariance matrix of residuals:
loans capital
loans 0.020826 0.009512
capital 0.009512 0.011312
Correlation matrix of residuals:
loans capital
loans 1.0000 0.6198
capital 0.6198 1.0000
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 62
Log Likelihood: 247.735
Roots of the characteristic polynomial:
0.7887 0.7326 0.7326 0.4883 0.4089 0.2021
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 -0.165766 0.150582 -1.101 0.27658
capital.l1 -0.042651 0.172724 -0.247 0.80604
loans.l2 0.402464 0.139057 2.894 0.00575 **
capital.l2 -0.316957 0.168971 -1.876 0.06690 .
loans.l3 0.334795 0.161082 2.078 0.04316 *
capital.l3 -0.209108 0.191440 -1.092 0.28027
const -0.003261 0.017280 -0.189 0.85111
ten_two 0.003684 0.007244 0.509 0.61348
ten_two_unexp 0.005301 0.028332 0.187 0.85240
ten -0.030159 0.131260 -0.230 0.81927
ten_unexp 0.023057 0.147569 0.156 0.87651
cpi -0.357494 1.806398 -0.198 0.84397
cpi_unexp 1.658552 1.574754 1.053 0.29763
jobs 1.969783 1.804394 1.092 0.28055
jobs_unexp 0.488951 4.269245 0.115 0.90931
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.04183 on 47 degrees of freedom
Multiple R-Squared: 0.347, Adjusted R-squared: 0.1525
F-statistic: 1.784 on 14 and 47 DF, p-value: 0.07011
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.117290 0.122499 0.957 0.3432
capital.l1 -0.036038 0.140512 -0.256 0.7987
loans.l2 0.202624 0.113124 1.791 0.0797 .
capital.l2 0.205467 0.137459 1.495 0.1417
loans.l3 -0.199405 0.131041 -1.522 0.1348
capital.l3 0.073514 0.155738 0.472 0.6391
const 0.009361 0.014057 0.666 0.5087
ten_two 0.004898 0.005893 0.831 0.4101
ten_two_unexp -0.018823 0.023049 -0.817 0.4182
ten -0.175948 0.106781 -1.648 0.1061
ten_unexp 0.217376 0.120048 1.811 0.0766 .
cpi -2.429025 1.469515 -1.653 0.1050
cpi_unexp 2.095565 1.281071 1.636 0.1086
jobs 1.084938 1.467885 0.739 0.4635
jobs_unexp -2.053499 3.473055 -0.591 0.5572
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.03403 on 47 degrees of freedom
Multiple R-Squared: 0.2384, Adjusted R-squared: 0.01156
F-statistic: 1.051 on 14 and 47 DF, p-value: 0.4235
Covariance matrix of residuals:
loans capital
loans 1.749e-03 8.352e-05
capital 8.352e-05 1.158e-03
Correlation matrix of residuals:
loans capital
loans 1.00000 0.05869
capital 0.05869 1.00000Warning in cor(resids): the standard deviation is zero[1] "error"
[1] "error"Warning in xy.coords(x, y, xlabel, ylabel, log): NAs introduced by coercionWarning in min(x): no non-missing arguments to min; returning InfWarning in max(x): no non-missing arguments to max; returning -Inf[1] "error"
[1] "error"
[1] "error"Warning in xy.coords(x, y, xlabel, ylabel, log): NAs introduced by coercionWarning in min(x): no non-missing arguments to min; returning InfWarning in max(x): no non-missing arguments to max; returning -Inf[1] "error"
VAR Estimation Results:
=========================
Endogenous variables: loans, capital
Deterministic variables: const
Sample size: 61
Log Likelihood: 338.544
Roots of the characteristic polynomial:
0.9326 0.8855 0.8855 0.8027 0.7184 0.7184 0.6543 0.6543
Call:
VAR(y = tmp_endo, p = tmp_var_sel$selection[1], exogen = tmp_exog)
Estimation results for equation loans:
======================================
loans = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.075167 0.143263 0.525 0.6024
capital.l1 0.691990 0.344062 2.011 0.0505 .
loans.l2 0.365831 0.153284 2.387 0.0214 *
capital.l2 -0.016766 0.338563 -0.050 0.9607
loans.l3 -0.183320 0.160489 -1.142 0.2595
capital.l3 0.323452 0.299515 1.080 0.2861
loans.l4 -0.047802 0.157898 -0.303 0.7635
capital.l4 0.669143 0.334733 1.999 0.0518 .
const -0.033142 0.024531 -1.351 0.1836
ten_two 0.013549 0.007862 1.723 0.0919 .
ten_two_unexp -0.019468 0.023860 -0.816 0.4189
ten 0.167458 0.097797 1.712 0.0939 .
ten_unexp -0.156618 0.107554 -1.456 0.1524
cpi -1.252824 1.345031 -0.931 0.3567
cpi_unexp 0.634329 1.239342 0.512 0.6113
jobs 1.750337 1.537596 1.138 0.2611
jobs_unexp -0.829458 3.322322 -0.250 0.8040
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.03223 on 44 degrees of freedom
Multiple R-Squared: 0.3923, Adjusted R-squared: 0.1713
F-statistic: 1.775 on 16 and 44 DF, p-value: 0.06712
Estimation results for equation capital:
========================================
capital = loans.l1 + capital.l1 + loans.l2 + capital.l2 + loans.l3 + capital.l3 + loans.l4 + capital.l4 + const + ten_two + ten_two_unexp + ten + ten_unexp + cpi + cpi_unexp + jobs + jobs_unexp
Estimate Std. Error t value Pr(>|t|)
loans.l1 0.061622 0.043662 1.411 0.165170
capital.l1 0.040757 0.104858 0.389 0.699380
loans.l2 0.070212 0.046716 1.503 0.139992
capital.l2 -0.200335 0.103182 -1.942 0.058611 .
loans.l3 -0.024039 0.048911 -0.491 0.625523
capital.l3 -0.143439 0.091282 -1.571 0.123256
loans.l4 0.166495 0.048122 3.460 0.001213 **
capital.l4 0.381759 0.102015 3.742 0.000525 ***
const 0.009853 0.007476 1.318 0.194339
ten_two -0.003081 0.002396 -1.286 0.205207
ten_two_unexp -0.005305 0.007272 -0.730 0.469520
ten 0.048256 0.029805 1.619 0.112586
ten_unexp -0.041901 0.032779 -1.278 0.207846
cpi 0.685384 0.409919 1.672 0.101622
cpi_unexp -0.496526 0.377708 -1.315 0.195464
jobs 0.312913 0.468606 0.668 0.507779
jobs_unexp -1.650550 1.012528 -1.630 0.110214
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Residual standard error: 0.009822 on 44 degrees of freedom
Multiple R-Squared: 0.7213, Adjusted R-squared: 0.62
F-statistic: 7.118 on 16 and 44 DF, p-value: 1.111e-07
Covariance matrix of residuals:
loans capital
loans 1.039e-03 2.504e-05
capital 2.504e-05 9.648e-05
Correlation matrix of residuals:
loans capital
loans 1.00000 0.07909
capital 0.07909 1.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